Dalglish was the man the American turned to 14 months ago when things lurched from bad to worse under Roy Hodgson's disastrous short spell in charge.
Appointed initially on a temporary basis the Scot was given the job full-time, for a second time, in May and the Carling Cup win over Cardiff justified that decision to bring him back.
Dalglish's judgement has been questioned recently for his handling of the Luis Suarez affair, for which the Uruguay international was banned for eight matches after being found guilty of racially abusing Patrice Evra.
However, Henry gave his manager his full backing after watching the club he and his Fenway Sports Group bought for £300million in October 2010 end their trophy drought.
"The whole club had a lot of pressure but Kenny has been extraordinary from day one," said Henry, who was welcomed by fans as Liverpool's saviour after rescuing them from the dysfunctional reign of former owners Tom Hicks and George Gillett.
"This is the first step for this club in trying to get to the point where we're talking about things on the field rather than off the field.
"It's been going on for so many years now that it was time for the club to step up and win a big match like this."
Henry added on liverpoolfc.tv: "Beating Chelsea at Stamford Bridge on two days' rest, to beat Manchester City over two legs - it was a tremendous accomplishment just to get here.
"Even if we'd lost I would have felt we'd accomplished a lot, but we didn't. It doesn't matter how you win if you win."
Henry believes a record eighth League Cup win can be the stepping stone to restoring the club's former glories.
"We look at it as the first step in what we're trying to accomplish, putting the club back to where it has historically been," he added on Sky Sports.
Henry's business partner and Liverpool chairman Tom Werner was pleased to have helped give the fans something to celebrate.
"The key is that we accomplished something as a club and for our fans," he told liverpoolfc.tv.
"I'm just proud we won because it's a first step and we're looking forward to more silver.
"I really have to pinch myself. I'm so proud of the club and so excited for all those fans around the world who watched.
"It's certainly at the very top (of what I've ever achieved), and to go into that dressing room and see the joy those players had: it's a memory we have and want to share with our fans."
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