Henneaux studied physics at ULB and received his doctoral degree in 1980 under the supervision of Jules Géhéniau. He was a visiting fellow at Princeton University for the academic year 1978-1979 where a long-term collaboration with Claudio Bunster was initiated. He was then postdoctoral research associate and lecturer at the University of Texas at Austin from 1981 to 1984, to continue working with Claudio Bunster. From there, he held a research position at the Belgian Science foundation (FNRS) until 1992, after which he was appointed Associate Professor at the University of Brussels (1993-1996).
