I did not find a Henry in the Death Index for Harrison county (up to 1940). Keep in mind that if he was 47 years old in 1870, he would have been close to 100 by 1920 - when statewide death records were more consistently recorded.

Still, the Family History Library should have microfilm copies of the early Harrison County Death Records. They don't give as much information as the state records, but at least you can see if there is a Malinda Smith somewhere in those records.
Have you found Henry in any census after 1870?