Wanderers face a crucial Easter double-header in their battle for Championship survival with out-of-sorts Middlesbrough the visitors to Molineux on Saturday before a short trip to midlands neighbours Birmingham on Monday.
Second-bottom Wolves are a point from safety with eight matches remaining and midfielder Henry says the squad is upbeat as they strive to avoid a second relegation in as many seasons.
"The mood is good," he said. "We are fully aware of where we are in the league and that we need to get ourselves out of it, but we are not where we are this season because of a lack of team spirit, or any other excuses.
"We just have a group of players who have been stuck in a rut, losing for too many games and not able to get out of it. It is not for the lack of trying or effort and as I said, the team spirit is good.
"The manager is good as well. I think we will get ourselves out of it - we have to, relegation is unthinkable. We are in the position we are in because we deserve to be and we have to do whatever it takes to get ourselves out of it. Ultimately, we have not performed this year."
Saunders, the club's fourth manager in the space of a year when appointed in January, finally recorded his first victory at the 10th attempt earlier this month.
When asked whether the squad are behind the Welshman, Henry said: "Yes, 100%.
"The manager has come in at a tough time and he is good - his ideas are good, his ethics and values are good. I think we need to do what it takes to stay up and then with him having a pre-season under his belt at Wolves, it will be a different proposition."