Tharja will be a little better stat wise. Both have awesome MAG and DEF, but Tharja has SPD. Henry's SPD tends to lag behind her's (unless you train him as an assassin), though he does have a lot more SKL than she does (SKL is her worst stat along with LUK).
As far as classes go (as in, available skills), both of them have decent options, but for final classes, lol@these selections:
Henry has the thief and barbarian classes available, so that means Lethality, Wrath, Counter, Acrobat, Move+1 and Lucky 7 are available to Henry. Also, Henry has Dread fighter if you have the LB2 DLC, so aggressor is also an option (+10 attack is awesome for Mire sniping).
Tharja has the Knight and Archer classes, which means Bowbreaker, Pavise, Luna, and Dual guard+. Hit + 20 might be useful too, if you want to Mire snipe (since Mire has crap Hit), otherwise it's meh.