The Premier League Hall of Fame was supposed to be introduced last year but had to be pushed back following the onset of the coronavirus pandemic.
Shearer is the Premier League’s all-time top scorer with 260 goals while Henry is widely regarded as the division’s best foreign import, having struck 175 times across two spells with Arsenal.
Six more players from a shortlist of 21 will be added to the 2021 Hall of Fame list.
Only players who have retired from professional football will be selected and their selection will be based solely on their performance in the Premier League.
The criteria for selection means the likes of Cristiano Ronaldo, Sergio Aguero and David Silva, who are all still playing professionally, will not be considered for induction just yet.
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 said: "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."
