The Hall of Fame celebrates the achievements of players since the league was formed in 1992 with former Newcastle striker Shearer, the league's all-time leading goalscorer, and Henry - who won the title twice and the Golden Boot award a record four times - the first inductees.
Shearer said: "When you look at some of the unbelievable players to have graced the Premier League - week in, week out, year in, year out - I feel very honoured to join the Hall of Fame. I have to thank all of my team-mates, as well as the managers and coaches that I've worked with.
"All I ever wanted to be was a professional footballer. It was my dream to do that, my dream to win trophies and my dream to score at St James' Park, to wear the number nine black-and-white shirt and it was fantastic. I enjoyed every minute of it."
Henry added: "To be inducted alongside Alan Shearer as the two first inductees into the Premier League Hall of Fame is more than special.
"When I was young, I was just trying to make sure I could get a pair of boots and now we're talking about the Hall of Fame. During my career I wanted to play hard and make sure I was fighting for the cause, because that's all the fans want to see.
"If you asked me at the start of my career about entering the Hall of Fame, I wouldn't have believed you. It's an amazing honour."