The relationship was reported to have begun in 2019, as the couple began appearing together at public events.
They announced their engagement in August 2020.
Appearing on the Diary of a CEO podcast, the former One Direction singer and now-solo artist confirmed that he was now single, saying he was “disappointed” in himself for “hurting people”.
He told the podcast’s host, businessman Steven Bartlett: “I feel like, more than anything at this point, I’m more disappointed in myself [that] I keep on hurting people. That annoys me.
“I’ve just not been very good at relationships and I know what my pattern of things is with relationships at this point. I’m just not very good at them so I just need to work on myself before I put myself on to somebody else.”
Payne said the same thing had happened in his last relationship and he felt he “wasn’t giving a very good version of [himself] anymore”.
“I can honestly say I feel better out of it,” he said. “I didn’t feel good doing what I did but it had to happen. That’s just the corniest way of saying it ‘was the best for both of us’ – whatever, cool, nice story, bro.”
He added: “I know it was a problem so I need to sort myself. I already feel good. It has already got me more concentrated and I hope she’s happy.”
Henry shared a post on Instagram in December with the caption: “How it started vs how it’s going.”
The first photo showed her with Payne in a modelling shoot, while the second showed her on her own modelling Calvin Klein underwear.
Payne was previously in a relationship with former Girls Aloud singer Cheryl between 2016 to 2019. Their son, Bear, was born in March 2017.
Later in the interview, Payne suggested he’s “not very good on [his] own” and that he tended to dive in and out of relationships.
Payne rose to fame in the band One Direction alongside Niall Horan, Harry Styles, Zayn Malik and Louis Tomlinson, after they formed on The X Factor.
He has since launched a solo career and released his debut album, LP1, in 2019.
Additional reporting by Press Association