We do not know when Henry left his family in Sussex and arrived in North America to settle in New York.
We did find this record about a Henry Gady -- is it him? -we will never know for sure.
 
New York Passenger Lists, 1820-1957
Name: Henry Gady
Arrival Date: 22 May 1834
Estimated Birth Year: ABT 1814 - Age: 20
Gender: Male
Port of Departure: Liverpool, England
Ship Name: Harold
Port of Arrival: New York, New York
 

In the year 1816, in the County of West Sussex, England, a son was born to Henry Gadd of Southwick, Hants, and Mercy Sexton of Bosham. They were married 22 February 1814 in Bosham. Henry was the younger brother to Emma Mercy Gadd, born 2 years earlier, and an older brother to Mary, Lucy, Fanny and Richard. He was Baptised, 25 March, 1816 at West Itchenor, a small Harbour village located in Chichester Harbour.
 
There have been questions as to what made him become a Sea Captain, when his ancestors, were, for the most part, very successful farmers, land owners, and shop keepers. Looking at the area where he lived as a child and young man, I can only assume that all the activities in the Chichester Harbour and surrounding areas must have been so very exciting and fascinating to a young man. No doubt he would have seen wonderful sailing ships, similar to the JP Wheeler, and perhaps longed to "sail off" to far away places.
 

Bosham Quay 1905
Probably little had changed in this photo
from when Henry roamed here as a boy.

We do know however, that he was not counted in the 1841 UK census that we can find, and also of curiosity, his father, Henry Gadd was not recorded in this census with his family. Henry's mother and his siblings are found in this census living at High Street, in the Parish of Brighthelmstone..
 
--- Perhaps Henry and his father were on a sailing ship headed for North America?? One can only wonder??---
 
The available US and Canadian census for the years 1830 and 1840 have shown no concrete evidence of our young man, Henry Gadd, none that would jump out and say "this is him".
We do have the record of him becoming an American Citizen in 1852 in New York, 8 years after his marriage. Perhaps in order to sail the seas and become a Sea Captain he needed to become and American Citizen.
Henry was married in New York, USA on 29 Aug, 1844 to Emeline Shaw Prentice, daughter of Lodowick Prentice and Elizabeth Stockwell. Together they had a total of 6 children, 2 sons and 4 daughters. Richard Henry, Mary Emeline, Arthur Prentice, Edith, Fanny Sexton, and Alice Weston. His oldest son, Richard Henry, also became a Sea Captain .
"The Captain" and his family are recorded in both the 1850 and 1860 New York census.
In the 1861 UK census taken in the Civil Parish of St. Lampeth, Surrey, Captain Henry Gadd and his 10 year old son Richard , from New York, are found at the home of Henry's sister, Mrs.Fanny (Gadd) Reed and her family. Perhaps "The Captain" sailed to England on his ship JP Wheeler, introducing his young son to the sea? There is a record of the ship JP Wheeler sailing from New York, USA to London England on 8 March 1861. No passenger lists for this voyage have been found as yet, or the return trip back to New York.
 
"The Captain" died 1 July 1866, New York, some family stories say he died at sea, and he was buried 3 July, 1866 in Evergreen Cemetery in New York.
 
He has many living descendants in the US and Canada, but that is another story.