Henry is confident the fact Wanderers have been in and around the bottom three all season will make them better prepared for the battles ahead to survive.
Albion, who entertain Wolves on Sunday, made a flying start to the campaign but a recent dismal run led to the sacking of Roberto Di Matteo and Roy Hodgson coming in.
Henry said: "The closer West Brom get to the relegation zone, the more they're going to panic. They've been out of it all season and we've been in and around it all season.
"Going into the last 12 games, there's nothing we haven't seen already. There's no more nerves and there's nothing more that can be thrown at us.
"It's a horrible situation to be in, but we've got a great opportunity to get ourselves out of this situation."
Source: PA
Source: PA