Henrey was born Madeleine Gal, the daughter of a miner and seamstress, and moved as a child to Soho, in London, following her father's death. She met her Future husband, Robert Henrey, at the Savoy Hotel; they were married in 1928 and their romance would prove to be a lifelong attachment lasting until his death in 1982. Her son Bobby Henrey was a child actor, notably in the film The Fallen Idol, the making of which was described in her book A film star in Belgrave Square.