She initially appears as a stuffed doll owned by Elmo. As he imagines his bed is a spaceship, the Kindness-1, the doll comes to life and becomes Elmo's co-captain as they scour the universe to spread kindness. She describes herself as an "H.O.A - Hamster of Action."
After saving the day, Elmo returns to his room and places Henrietta back on his toy box. As he signs off, the doll blinks, suggesting her sentience may not be entirely imaginary.