Henry Kelsey (ca. 1667-1724) was an English-born Canadian explorer and overseas governor of the Hudson's Bay Company. He was the first European to visit the interior of western Canada and to winter on the prairies.

Henry Kelsey was apprenticed in 1684 to the Hudson's Bay Company for a term of 4 years. He would eventually serve the company for almost 40 years, spending all but 3 in the environs of the bay. He was sent out immediately, "his time to commence at his arrival in the Bay and to terminate from his coming from thence who is to have £8 and two suites of apparell."

Unlike most of the servants of the company, Kelsey showed no hesitation in striking inland from the shores of the bay. This venturesome spirit was noted by the committee in London, which directed the resident governor "that the boy, Henry Kelsey bee sent to Churchill River because Wee are informed hee is a very active lad Delighting much in Indian Company being never better pleased than when he is travelling among them." From 1690 to 1692 he ranged far inland and was the first European ever to visit the Canadian prairies. His journal described the immense grasslands of the interior, the awesome spectacle of the vast buffalo herds, and an exciting vignette of his encounter with a grizzly bear. Kelsey also developed a rare talent for understanding Indian dialects.

In 1694 Kelsey was captured by D'Iberville, the commander of a French expeditionary force. France and England were then engaged, on opposite sides, in the War of the Spanish Succession. Kelsey's confinement was not arduous, but he was relieved in the summer of 1696, when the Royal Navy appeared in the bay and Ft. York was retaken. For the next 20 years he was a mariner in the employ of the company.

Kelsey was named deputy governor in the bay in 1714 and was present to receive the surrender of Ft. York from the French (who had again captured it). In 1718 he succeeded to the resident governorship, a post which he held for 4 years. He went back to England in 1722 and died there 2 years later while awaiting the captaincy of a ship in order to return to Hudson Bay.