Belgium are bidding to reach the final of the showpiece competition for the first time in their history, but they face a tricky last-four tie against France.
Having played 123 times for France and scored a record 51 goals along the way, Lloris expects it to be a night of split loyalties for his former teammate in St Petersburg.
"I'm lucky enough to have played alongside [Henry] for two years with France. He was an immense player," he told reporters at Monday's pre-match presser.
"It is true that it is a little bit peculiar to see him with the Belgian team, but that is his career and that is how he is learning his future career.
"I think his heart will be split tomorrow because before anything he remains French. But we know him, he has a lot of passion inside him, for football - and he will be with the Belgians and giving everything to help his team."
Henry lifted the World Cup with France in 1998 and the European Championship two years later.