Robert Henry Cozad was born in Cincinnati, Ohio to Theresa and John Cozad, a gambler and real estate developer. His father founded the town of Cozaddale, Ohio in 1871. The family, which included Robert's brother Johnny, settled in Cozad, Nebraska after his father founded the town in 1873.

Henri's father shot and killed a local rancher over a dispute of pasturing cattle on land claimed by his family. Fearing for his life, Cozad left the area immediately. John J. Cozad was cleared of any wrongdoing, but by that time he and his family had moved to New York City and then relocated to Atlantic City, New Jersey. Because of the altercation, the Cozad family changed their names. Robert became Robert Henri (Hen-rye), as we know him today. Henri became a renowned artist and art teacher who greatly influenced the course of art in America. Henri's ART SPIRIT lives today.

Henri's initials that were written on the wall of the museum have been preserved. Original Henri sketches are on display for public viewing.