Henry also leads the all time scoring charts for France with 51 goals and is second in the list of most capped players for his country with 123 caps.
The 19-year-old Martial recently made his debut for France, and has made a stunning start in England, having scored three goals in four league appearance.
The main comparisons made were down to their style of play, as Martial likes to run behind defenders and his ability to calmly score from one-on-ones, something of a trademark for Henry during his playing days.
"I know this is a very great player who is a legend in England. I do not think we have the same characteristics," Martial told French TV channel BFM.
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"Thierry Henry is Thierry Henry. I still have everything to prove. By continuing to work, I will try to reach his level but I am still very far off."
Martial spoke of his move to United and said the prospect of Champions League football played a key role in his decision.
"Basically, I was told 'untransferable' so I thought staying in Monaco," Martial said.
"When I knew about the offer, I did not hesitate a second and it was done quickly. I really wanted to continue to play in the Champions League.
"(Louis) Van Gaal called me and spoke to my mother who did the translation. When I arrived in Manchester I met him, we discussed at length and it was done quickly," he added.
Marital joined United for a reported 36 million pounds ($54.57 million), making him the most expensive teenager in football history, but the forward says the price tag doesn't add any extra pressure as he just concentrates on football.
"It did not bother me too much. I try to ignore it all. I stay in my bubble, I concentrate on the football, I work and I try to learn English as quickly as possible," Martial said.
($1 = 0.6597 pounds)
(Reporting by Shravanth Vijayakumar in Bengaluru; editing by Sudipto Ganguly)
