Dan Carter kicked a penalty with two minutes remaining in the match to hand the All Blacks an 18-19 victory over the Wallabies.
The last time the All Blacks won in Sydney was in 2005 which was a convincing 30-13 victory in Henry's second year in charge.
The Wallabies can now not win the Bledisloe Cup even though they still have to play the All Blacks in New Zealand.
The result means that the All Blacks retain the Bledisloe Cup for a seventh consecutive season.
The All Blacks took the lead for the first time when replacement center Ma'a Nonu scored the only try of the match with 15 minutes left, but Matt Giteau restored the Wallabies' advantage again before Carter's late penalty.
New Zealand are now back in contention for the Tri-Nations, with home matches remaining against Australia and competition-leading South Africa.
Australia's third straight loss all but ended its chances in the tournament.
Australia led 12-3 at halftime after Giteau kicked four first-half penalties to counteract a fourth-minute penalty from rival flyhalf Carter, who was playing his first test of the season after rupturing his Achilles tendon in January.
The tight and physical match began with Australian Rocky Elsom's hit on an airborne Richie McCaw at the kickoff.
Carter put New Zealand ahead, but Giteau leveled two minutes later and then gave the Wallabies the lead in the 10th minute after the All Blacks were penalized for a second time within kicking range for breakdown infringements.
Giteau added penalties in the 34th and in first-half injury time, after Nathan Sharpe was dragged down a meter short of the tryline.
The New Zealanders dominated possession but struggled for cohesion amid mounting handling errors, while Australia made the only two line breaks of the first half.
Carter and Giteau traded penalties early in the second half before Carter made the score 15-9 with another penalty in the 58th.
The All Blacks attacked relentlessly after the break, tiring the Australian defense which was a man short for 10 minutes when No. 8 Richard Brown was in the sin bin for a dangerous tackle.
Carter and scrumhalf Jimmy Cowan crossed the tryline but were called back for a forward pass and an obstruction before Nonu finally slid over in the left corner after handling twice in the attacking movement.
Carter had an earlier chance to kick the winning points, but hooked a dropped goal attempt from directly in front and 30 meters out after a patient buildup from the All Blacks' pack.
The All Blacks have won 11 of the past 13 tests between the countries, but New Zealand lost two in a row in South Africa after beating the Wallabies in Auckland to open the tournament.
In the dying seconds at Sydney's former Olympic Stadium, New Zealand had to defend stoutly as Australia twice went within meters of scoring a try in a desperate bid for victory.
"That's right up there," All Blacks captain Richie McCaw said when asked if that was one of his team's best test wins.
"We had to work hard at it. There were times at the end when we let them back in, but that's what test rugby is all about."
Wallabies skipper George Smith said his team was starved of possession.
"Whenever we got the chance, we kicked the ball away."
"We got ourselves in good position down here (in the final minute) but we didn't take our opportunity."
Smith was filling in as captain for Stirling Mortlock, who was injured in Australia's preview loss in Cape Town.
The Australian injury toll is likely to get worse, with Berrick Barnes injured late in the first half and not returning in the second.
Coach Robbie Deans used all seven replacements against the All Blacks to combat injuries and to try and add some freshness to the exhausted Wallabies.
Final Score Australia 18 New Zealand 19
Scorers
Australia
Tries -
Pen - Matt Giteau 6
Con -
Drop -
Cards - Richard Brown (42) Yellow
New Zealand
Tries - Ma'a Nonu
Pen - Dan Carter 4
Con - Dan Carter
Drop -
Match Officials:
Venue: Australia vs New Zealand at ANZ Stadium, Sydney
Referee: Jonathan Kaplan (South Africa)
Assistant referees: Mark Lawrence (South Africa), Cobus Wessels (South Africa)
TMO: Johann Meuwesen (South Africa)
Assessor: Steve Hilditch (Ireland)
Teams (15-1)
Australia - James O'Connor; Lachie Turner, Adam Ashley-Cooper, Berrick Barnes, Drew Mitchell; Matt Giteau, Luke Burgess; Richard Brown, George Smith (captain), Rocky Elsom; Nathan Sharpe, James Horwill; Al Baxter, Stephen Moore, Benn Robinson.
Reserves: Tatafu Polota-Nau, Ben Alexander, Dean Mumm, David Pocock, Will Genia, Ryan Cross, Peter Hynes.
New Zealand - Mils Muliaina; Joe Rokocoko, Conrad Smith, Luke McAlister, Sitiveni Sivivatu; Dan Carter, Jimmy Cowan; Kieran Read, Richie McCaw (captain), Jerome Kaino; Isaac Ross, Brad Thorn; Owen Franks, Andrew Hore, Tony Woodcock.
Reserves: Aled de Malmanche, John Afoa, Jason Eaton, Rodney So'oialo, Brendon Leonard, Stephen Donald, Ma'a Nonu.
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