Henry, who plays for the New York Red Bulls in MLS, remains a favourite with Gunners fans after scoring 226 goals in a highly successful spell with the club between 1999 and 2007.
The 33-year-old left Arsenal to join Barcelona in the summer of 2007 before signing for New York in July last year.
A statement on Arsenal's official website read: "Thierry Henry is back at Arsenal.
"The Gunners legend returned to London Colney on Monday to train with Arsene Wenger's squad. The short-term arrangement will help Henry maintain his fitness ahead of the new MLS campaign, which begins in March.
"Henry joined the New York Red Bulls last year and helped them reach the play-offs, where they lost on aggregate to San Jose Earthquakes in November."