He recounted the experience on the March 22 edition of "Late Night," after showing host Seth Meyers the now-famous Instagram video he recently posted that shows him chilling in Times Square by a huge billboard for his new superhero movie while wearing a Superman T-shirt -- and being completely unrecognized amid the Big Apple's hustle and bustle.
When he was starting to work on the 2013 Superman reboot, "Man of Steel," Henry flew to Los Angeles to meet with the film's director, Zack Snyder, and a trainer who'd been tasked with getting the actor's physique into superhero shape.
Unfortunately, the gym wasn't the first place where Henry's bod became the center of attention.
"I had landed in L.A., dropped my bags off at the hotel, met my agent for dinner and a drink and then went to bed," he recalled, according to E! News. "I passed out a bit jetlagged and I woke up to the sound of my door closing in my hotel room. Of course, I then realized that I was on the outside of my door -- and I had no clothes on."
As he relived the embarassing experience, a grinning Seth Meyers blurted out, "This story's a dream for me!"
But the situation was very real for Henry, who had gotten up to relieve himself but had sleepily opened the door to his room rather than the door to the bathroom.
"I got out the right-hand side of the bed and just went straight for the first door I saw and woke up completely naked in the hallway," he said. "Being naked in the hallway is a pretty big problem, but I needed to pee and I was desperately thinking, 'Where am I going to pee?'"
Seth seemed to get a kick out of clarifying that Henry's nakedness was "secondary" at that point to finding a bathroom.
"Naked and peeing in a hotel hallway is pretty bad," Henry pointed out.
"I was looking up and down the hallway and I was checking out pot plants of all sorts...I thought, 'Do I pee in there? What if someone catches me? That's pretty bad.' I remembered there being a fire escape, and so I ran up this fire escape, because I knew there was a pool area on top and a tennis court. I thought, 'Maybe there's a bathroom up there.' I ran up the fire escape to the roof and it turned out to be a tennis court, which was all closed off and I couldn't get anywhere. This was around 3 a.m. I then thought, 'I've got to pee. This is getting bad now.' So, I just peed off the top of the hotel. I felt like a little boy again. Then it dawned on me that I hadn't quite solved the problem because I was locked outside my hotel room naked -- and on the roof now."
Finally, he gave himself a talking to.
"I then thought, 'You know what? You've just got to suck it up, get downstairs and ask for your key.' I thought, 'You know what? Ride the elevator down. Be a man about it.'"
The naked star proceeded to hop on the elevator and head to the lobby, prepared to be laughed at.
"I walked into the reception, and I said to the receptionist, 'This is really embarrassing. I locked myself out of my hotel room. Can I have my key to get back in,'" Henry recalled.
"And he says, 'Yeah, of course. What room are you in?' Doesn't bat an eye! Doesn't even look up. And I was thinking, 'How often does this happen at this hotel? Why have I met no one else in the hallway at this stage, high-fiving naked dudes walking past?'"
The receptionist sent a security guard with Henry as they headed back to his room with a key. (It was "an awkward elevator ride, by the way," with the guard, Henry noted.)
"They let me back in. I didn't sleep for the rest of that night and I was pretty sure I was going to have been caught on camera and lost the job," he admitted.
On the bright side, Henry did learn from his mistake: "I now put chairs up against the doors of every hotel I sleep in," he said.