Monaco, Marseilles - who beat Metz 1-0 - and Bordeaux, 3-2 winners at Le Havre, are the only sides on maximum points after two matches, with the Monegasques ahead on goal difference.
Henry, who said last week he wanted to join his former coach Arsene Wenger at Arsenal, was in inspired form, laying on the first goal for Portuguese midfielder Francisco Da Costa in the opening minute.
Sochaux replied within four minutes, defender Bernard Maraval rifling a close-range shot past helpless World Cup goalkeeper Fabien Barthez.
Nigeria's Victor Ikpeba restored Monaco's lead in the eighth minute in front of a crowd of 12,000 at the Stade Louis II, where attendances are generally a third of that.
Henry scored in the 50th minute after a 40-metre run, before laying on a second for Ikpeba seven minutes from the final whistle.
A second-half goal by Giovane Elber gave Bundesliga favourites Bayern Munich a 1-0 win at VfL Wolfsburg in their opening match of the new season. The champions, Kaiserslautern, also started with an away win, beating 1860 Munich 2-1.
n The Germany coach, Berti Vogts, said yesterday that he will resign if his team fail to qualify for the European Championship finals in 2000.