All the goals came in an action-packed first half after Dutch star Robin van Persie had given Arsenal a dream start.
Wigan were at full strength for their first-ever clash against Arsenal which pulled in a sell-out crowd at the JJB Stadium.
Incredibly Paul Jewell's side - regarded as relegation fodder at the start of the season - kicked off just six points behind Premiership leaders Chelsea and five clear of the Gunners.
For Arsenal - 11 points adrift of their London rivals - it was make-or-break time for their chances of forcing themselves into title contention.
With Ashley Cole and Gael Clichy both injured, Arsene Wenger had no recognised left-back, and Pascal Cygan got the nod to step into the breach.
Wigan made a confident start carving out the first chance of the game after five minutes. Senegal striker Henri Camara provided an inviting ball for Lee McCulloch but the Scottish international hit it with his weaker left foot and it failed to trouble Jens Lehmann.
Referee Graham Poll was quick to stamp his authority on the game handing out early yellow cards to Kolo Toure and Arjan De Zeeuw.
Henry tried his luck with a long-range free-kick and John Filan did well to save it at the second attempt as the ball bounced awkwardly in front of him.
But the big Aussie was found wanting as Arsenal snatched the lead after 12 minutes in impressive style. Van Persie turned De Zeeuw and homed in on goal. As the covering defender arrived, the Arsenal star let fly from five yards outside the box, and the shot went in under Filan's body.
Two minutes later, the Gunners should have had another when Robert Pires set up the opening for van Persie but this time his left-foot shot on the turn trickled past the post.
It was looking ominous for Wigan and Arsenal struck again after 22 minutes as Henry netted with a typical cool finish after Pires had played a superb ball into his path. He placed the shot beyond Filan and into the far corner for his ninth goal of the season.
Wigan desperately needed a reply and they came up with it on 28 minutes. A free-kick on the left was floated in by Leighton Baines, skipper De Zeeuw got up to flick it on, and Camara stole in, throwing himself at the ball inside the six-yard box, and scoring with an acrobatic header.
Jason Roberts' shoulder charge on Cesc Fabregas caused a flare-up after the goal and also earned a booking for the Wigan striker.
It was just the boost Wigan needed and they went close again when Toure cleared off the line after another forceful run from Roberts.
But Arsenal restored their two-goal advantage four minutes before half-time. Jimmy Bullard was penalised for a tackle on Cygan, and Henry produced yet another free-kick stunner, flighting it perfectly into the right corner as Filan scrambled across goal in a vain attempt to keep it out.
But the never-say-die Latics bounced back when McCulloch picked out the unmarked Bullard on the right. The midfielder cut inside, left Sol Campbell on his backside, and beat Lehmann with a left-foot shot into the far corner to wrap up a sensational first half of goal action.
After the break Wigan lived dangerously when Pascal Chimbonda hesitated in clearing and allowed van Persie to take advantage. He almost cashed in, lobbing over Filan, but De Zeeuw reacted quickly to get it away.
Wigan's veteran Dutch defender then came to the rescue again, racing back to rob van Persie after a long clearance by Lehmann.
The Latics were still chasing an equaliser in the closing stages and Campbell was forced to head clear when McCulloch's cross looked destined to reach Camara at the far post.
They did go desperately close five minutes from time when the hard-working Roberts fired across the face of goal, but the ball went just behind McCulloch, as the Gunners hung on for a vital win.
MAN OF THE MATCH: Thierry Henry (Arsenal) – The Gunners' record goalscorer added two more to his collection including the winner as he produced another stylish and stunning display.