Anthony Henday, the younger son of a farm family on the Isle of Wight, is said to have been outlawed for smuggling (a common occupation on the island) before he signed with the Hudson's Bay Company in 1750. For several years he worked as a common laborer at York Factory, then volunteered to travel inland from the bay with a Native band from the Saskatchewan River. James Isham, the chief factor, based his plan of sending company employees to winter inland on the journeys of Henry Kelsey and William Stewart; he saw this practice of wintering as a response to the British government's demand for exploration as well as to French commercial rivalry west of Lake Winnipeg. After his first trip inland, Henday worked as a netmaker and then returned to the Saskatchewan River in 1759–60. For the next two years, serving at York Factory and its satellite Severn House, Henday was occasionally given greater responsibility. When the company refused the salary he demanded, Henday claimed his back pay and left the service. Nothing more is known of him.

Henday is remembered for his first trip inland. He left York Factory on June 26, 1754, equipped with a small consignment of trade goods, a supply of paper, and a "boat compass" by which he was to determine his route. When he set out Henday knew nothing of canoe travel, nor could he speak the language of his companions. Even so, he managed the arduous tracking and portaging necessary to reach the Saskatchewan River, where the canoes were abandoned and they met the rest of the band. Henday joined a "family," or tenting group, including a woman referred to as his "bedfellow." Henday's journal describes his acculturation to this Plains band, his growing skill at hunting, his pleasure at feasts. At the same time, he fretted that his companions refused to hunt more animals than were needed for their own use.

Isham considered the purpose of Henday's trip inland to have been fulfilled when the young man met with leaders of the "Archithinues," Natives who did not trade at the Hudson Bay forts and whose language was unfamiliar. In one version of his journal, Henday persuaded them to make the long journey east; in another version the Archithinue chiefs answered him that they could not paddle, or eat fish, or leave the buffalo. After a winter spent "pitch[ing] too & fro to Get furrs and provisions," Henday's band assembled on a riverbank, built canoes, and paddled down to Hudson Bay. They arrived at York Factory on June 23, 1755.

Presumably Henday brought with him a journal of his year inland and a map of the region he had visited. Neither document has survived. Four copies of the journal are extant, three of them copied by Andrew Graham, the clerk at York Factory, and a fourth made for Graham by an unknown copyist. The earliest copy, sent to the London Committee of Hudson's Bay Company a few weeks after Henday's return, reports that he had success in urging the Archithinues to trade and in preventing his companions from exchanging their best furs at French posts along the Saskatchewan River. The other three copies are found in Andrew Graham's compilation of his memoirs and other documents, written and rewritten over a period of thirty years and called "Observations on Hudson's Bay." In Graham's "Observations," Henday cannot persuade the Archithinues to trade, nor can he prevent the band he has wintered with from trading at the French posts. Other problems presented by the four extant texts are discrepancies in the courses and distances that chart Henday's route, and in the designation of landmarks he noted along the way.

Henday's journal was published in 1907 as an article in . The text was the last of Graham's copies in the "Observations"–a text that the editor never saw, copying as he did a late-nineteenth- century copy of Graham's copy of Henday's holograph. Gradually the other surviving texts came to light: by 1931 three were known to exist, and in 1968 a fourth was found in the company archives. Nevertheless, historians and anthropologists continued to rely on the text and to draw inferences from its all-too-vague statements. By 1969 the accepted story was as follows: Henday traveled with some Crees from the Saskatchewan watershed up to The Pas, Manitoba, then across to the Battle River to his meeting with Blackfoot leaders south of Red Deer, Alberta. After viewing the Rocky Mountains from a nearby hill, Henday's Crees drifted north to the Beaver Hills east of Edmonton, Alberta, and built canoes on a bank of the North Saskatchewan River. When the ice broke up, they returned to York Factory after passing two French forts on the Saskatchewan River.

However, if all four texts are considered and wishful inferences are rigorously excluded, no consistent account of Henday's movements or activities is possible. The four extant texts are rife with differences and contradictions that no honest, scholarly treatment can rationalize or reconcile. Exactly where Henday went, whom he met, and what trading success he had must remain at best uncertain and on most points unknown. His journal is an enduring puzzle, a lesson in the textual limits of historical research.

See also INDUSTRY: Hudson's Bay Company.