McHenry was born at Ballymena, County Antrim, Ireland, in 1753. He enjoyed a classical education at Dublin, and emigrated to Philadelphia in 1771. The following year, the rest of his family came to the colonies, and his brother and father established an import business at Baltimore. During that year, James continued schooling at Newark Academy in Delaware and then studied medicine for 2 years under the well-known Dr. Benjamin Rush in Philadelphia.