Avery was born near Plymouth in 1665 (sometimes also stated as mid 1650's) and began his sea career by being a midshipman serving with the Royal Navy. After this he served as second mate aboard the privateer Charles which was part of a fleet of ships led by Sir James Houblon destined to attack Spanish colonies. Eight months had passed while waiting for the rest of the privateer fleet to build up before Charles finally left England for Coruna. When they arrived, they spent another 4 months there. During this time the crew was not paid so morale plummeted. Disgusted with this, several crewmen and Avery decided to steal a vessel and go and seek their own plunder. So on May 7, 1694, Avery and his fellow mutineers took over Charles while the captain was drunk. Avery was believed to say, "I am a man of fortune, and must seek my fortune" and with that became the new captain of the vessel.

Charles was renamed Fancy and set sail south around the west coast of Africa and along the way they stole provisions including the plundering of three English ships off Cape Verde Islands. While off the Guinea coast, Avery flew the English flag to lure locals into believing he wished to trade with them. The gold-carrying natives would canoe over to the "trade" ship for business, and at the signal the pirates would quickly capture the natives and put them in irons and keep them as slaves.

Two Danish ships were attacked and plundered off Principe and some of the Danish crew elected to join Avery. Since the pirate crew number was growing, it was decided that the smaller Danish ship would be kept as a consort and the other one burnt. This new consort did not last long though, it too was burnt after the assigned crew proved too troublesome. As a result, all of the crew was moved onto Fancy which soon became extremely overcrowded at about 150 men and 46 guns. Fancy sailed onward past the Cape of Good Hope and headed northeast to Madagascar for provisions and then continued to make several more stops along their journey to the Red Sea. It was there that the pirates would attack the returning large pilgrim fleet which made an annual trip from the Indian port Surat to Mocha (located at the mouth of the Red Sea) and then finally to Mecca. The emperor of the Mogul (Mughal) Empire, known as the Great Mogul, also sent some of his own ships on the journey.

In September 1695, Fancy waited outside Mocha for the pilgrim fleet to arrive. Soon Avery discovered that he was not alone, several American pirates were there waiting for the fleet as well - Captain Joseph Faro on Portsmouth Adventure from Rhode Island and Captain Want on Dolphin from Philadelphia. These two new ships each had a crew of about 60, so the gathering pirate fleet now had three ships and over 350 men. Three days later, even more American pirates arrived - Captain William Maze on Pearl from Rhode Island, Captain Thomas Tew on Amity from New York, and Captain Wake on Susannah from Boston. This new group of three effectively doubled the pirate crew numbers.

Off Cape Saint John, the first pilgrim ship was plundered - Fath Mahmamadi which carried 50,000-60,000 pounds of gold and silver. A few days later the largest of the Great Mogul's ships was sighted, Ganj-i-Sawai (renamed Gunsway) captained by Muhammad Ibrahim. This large ship had 40 guns and about 400 rifles for protection so it would normally have been a difficult target, but luckily two important occurances changed that. An initial pirate cannon shot destroyed the Ganj-i-Sawai's mainmast and also a cannon exploded on the deck of Ganj-i-Sawai causing more damage and confusion. The running battle still lasted for about two hours but when the pirate ships eventually came alongside, the large ship was taken somewhat easily. Captain Ibrahim was stated as having sent Turkish slave girls dressed as men to the main deck to ward off the pirate boardings while he fled to go below to hide in the hold. It was also rumored that one of the Great Mogul's daughters was also onboard along with several wealthy merchants.

All of the ships stayed together for the next few days as the pirates raped the women and divided up the loot which came to about 1000 pounds for each crewman. The crew of Pearl lost their share after they tried to exchange their gold for silver pieces with the men from the Fancy, but the Fancy crew found out the gold pieces were damaged so they took back their silver at gunpoint and also kept the damaged gold. Avery soon abondoned the rest of the pirate ships and sailed to the West Indies to retire from the pirate life. They arrived at New Providence and each crewman had to pay Governor Nicholas Trott to safely come ashore; in addition, Avery presented the governor his ship, Fancy and also ivory tusks worth 1000 pounds. The crew then disbanded and some went to Carolina and others went back to England.

Eventually six of Avery's crew were caught and sentenced to death in October 1696 but Avery himself was never captured. It is believed that Avery returned to England and took up an alias and took up residence at Bideford in Devon. He made arrangements with some merchants to sell his diamonds and other loot in Bristol with the belief that upon selling Avery's goods the merchants would send him the money. After never receiving his promised money, Avery the pirate found that he himself was robbed. He soon fell into debt, fell ill, and later died. There was also a belief at the time that he actually lived out a happy retirement on some tropical island as the "king of pirates...."

The effect of Avery's plundering of the pilgrim fleet and the Great Mogul's ship had an important effect on English trade in India. The Great Mogul threatened to exclude Englishmen and the East India Company from operating in his empire and after much diplomacy, England promised to capture Avery and see that he was punished for his piracy. Of course Avery was never capturd so Indians continued to have ill-will toward the English and this fear did not help some others soon after such as William Kidd.

Henry Avery was in the pirate life for only a little over a year but he became very popular in his time for the plunder of the pilgrim fleet. He also was somewhat rare in being a well-known pirate that was not killed in a bloody battle or ever caught for his crimes. On the otherhand, it is rather ironic that after gaining instant wealth it is possible that he lost his fortune from unknowingly dealing with "land pirates."