Henne was born in the village of Weiler, near Wangen im Allgäu. His father was a saddlemaker. In 1919 Henne was apprenticed to a become a motor vehicle mechanic. He started racing in 1923 in Mühldorf, and in 1925 he competed in the Monza Grand Prix, his first major international event. He placed sixth in the 350cc class.
Henne soon became one of the most successful German motorcycle racers. He was the 1926 German champion in the 500cc class, 1927 German champion in the 750cc class and the 1928 winner of the Targa Florio in Sicily.
Between 1928 to 1937, he achieved a total of 76 land speed world records, the last on 28 November 1937 with the 279.5 km/h (173.7 mph) on a fully faired 500cc supercharged BMW. This record stood for 14 years.
After the end of World War II, he developed a contract workshop with Mercedes-Benz. In 1991 he founded the Ernst-Jakob-Henne Foundation to help innocent victims of misfortune. From 1996 until the end of his life, he lived in retirement with his wife on the Canary Islands.