The 17-year-old made his competitive debut for the Gunners in the Community Shield win against Chelsea at Wembley last month.
He followed that up with a cameo appearance in the Europa League win at home to Cologne before making his first start in the Carabao Cup win against Doncaster Rovers on Wednesday.
Henry worked with Nelson during his spell coaching Arsenal's academy players.
And the Frenchman believes Nelson has the attributes to make it to the top.
Writing in his column in The Sun on Sunday, Henry said: “This kid has all the talent to be knocking on the door of the first team.
“After two substitute appearances — in the Community Shield and Europa League — he made his first start in the Carabao Cup.
“It was a shame not to see him start in his best position. He is a No. 10 or a winger and he played as a wing-back. But as a kid, at a club like Arsenal, you take every chance you get.
“Now, having all the attributes to make it and actually making it is a massive gap. It’s like the distance from the Earth to the Moon.
“He is about to the enter the real world, the pro world. Can he handle it? Well, he has desire, confidence and a great attitude. He will run at you and be brave on the ball.
“People talk about being brave in football like going in for a 50-50 tackle but bravery can also be about decision-making when in possession. Reiss is brave because he takes risks, he takes on the opposition.
“I watched his games in the Emirates Cup in pre-season and he came on against Cologne in the Europa League. And there were flashes from him that he is comfortable around the first team.
“He is quick — and not just across the ground. He is quick in the mind, he understands the game. But he is also quick with the ball and has fast feet.
“He is direct, there is no inefficiency, no messing around for the sake of it.
“It is great that he is coming through the Arsenal system and getting near to the first team.”
