England, in dire straits at 30 for four, recovered to 113 for four at lunch thanks Joe Root (49 not out) and Ben Stokes (36 not out).
The fifth-wicket pair's counter-attacking and so far unbroken stand of 83 had come in just 84 balls.
New Zealand captain Brendon McCullum's decision to field after winning the toss in the first of this two-Test series was soon vindicated.
His pacemen, despite having only just arrived -- along with their skipper -- in England days before this match after stints in the Indian Premier League, enjoyed themselves initially on a green-tinged pitch despite the blue skies above Lord's.
The 100th Test between England and New Zealand saw the hosts lose a flurry of three wickets, as three went down for five runs in 15 balls to leave them 30 for four.
Gary Ballance, driving at Trent Boult, was well caught by Southee at third slip for one.
Then England captain Alastair Cook, who had made 16, fell when, beaten for pace by 23-year-old Canterbury quick Henry, he top-edged an attempted hook through to wicket-keeper BJ Watling.
Bell's exit meant Henry had taken two wickets for four runs in seven balls.
Root, recently installed as England's vice-captain, had a nervy moment on 36 when he was struck on the back leg after missing a sweep against off-spinner Mark Craig.
The Black Caps reviewed South African umpire Marais Erasmus's original not out decision but, with replays showing Root had been hit just outside off stump, the Yorkshireman survived.
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