The north London side fell behind in the 12th minute when Craig Dawson headed home from a corner following poor defending from the visitors.
However, Arsenal drew level just three minutes later when Alexis Sanchez blasted his finish into the roof of the net to make it 1-1.
Henry praised Sanchez for his goal but also singled out Oxlade-Chamberlain for praise after the midfielder’s run inside helped to create space for the Chilean in the build-up to the equaliser at The Hawthorns.
Speaking on Sky Sports at half-time, Henry said: “The reply of Arsenal was great.
“Sometimes he doesn’t get a mention but The Ox makes a great run to create space for Sanchez, and the rest is history.
“The run takes Dawson away. You have to give Oxlade-Chamberlain some great credit because if it wasn’t for him, there would have been no goal.”
West Brom took the lead once again in the 55th minute through Hal Robson-Kanu and added a third when Dawson headed home from a corner once again.
Arsenal headed into the game in fifth place in the Premier League table and having lost three of their last four top flight games.
The north London side will take on Manchester City in the FA Cup semi-finals at Wembley on 23 April.
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