The Premier League club confirmed the deal on Tuesday morning (local time) and said the deal was done before the transfer window closed on Monday's 23:00 BST deadline.
The 18-year-old Henen moved from Anderlecht to Olympiacos on Monday before immediately signing a loan deal with the Goodison Park outfit.
Everton boss Roberto Martinez told the club's official website: "As we had said previously, he's someone whose potential we recognised and at this stage he will go into the Under-21 development squad.
"We [are] looking forward to working with him this season."
Henen is a Belgium youth international.
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