Although the first performances of Sullivan's Incidental Music to The Tempest were concert performances, he always intended that the music should be used within the context of a production of the play. Charles Calvert's production of The Tempest, which opened at the Prince's Theatre on 15 October 1864, used some of Sullivan's music alongside music by other composers. This led to Calvert commissioning incidental music from Sullivan for his productions of Shakespeare's The Merchant of Venice (1871) and Henry VIII which opened at the Theatre Royal, Manchester, 29 August 1877.

As he would do so often with the operas, Sullivan left the composition of the music to the last minute, writing to his mother twelve days before the announced opening date: "I do nothing but write, write, write. I think I shall get it finished by Saturday. I hope so - if not I must work all Sunday at it." In the event, the opening had to be postponed two days because the music was not ready in time.

Sullivan's music is in four movements: March, King Henry's Song ("Youth will needs have dalliance"), Graceful Dance and Water Music, all of which is used in the fifth act of the play. As with the production of The Tempest, other composers' music was used elsewhere. The Manchester Courier described Sullivan's music as 'exquisite'.

For the first performance of The Sorcerer (17 November 1877) Sullivan wrote no proper overture but instead simply prefaced the Graceful Dance from his Henry VIII music with a brief statement of the theme "O marvellous illusion" from the opera.

King Henry's Song was issued by Metzler in 1877 and they published a piano vocal score, arranged from the full score by Berthold Tours, in 1879. In 1886, Metzler published the work in full score and in 1888 an arrangement, by M. Retford, for Military Band, appeared. Writing to Sullivan from his flagship, H.M.S. Alexander, the Duke of Edinburgh, then Commander-in-Chief in the Mediterranean, remarked that the Henry VIII music was the favourite item in the repertoire of the ship's band.

Percy Young considered the music for Henry VIII less consistently engaging than the incidental music to The Merry Wives of Windsor which Sullivan had written three years earlier. The March, he thought, had "a coarseness of which the aptness is only accidental"; the Graceful Dance "charming" and "mannered" with "the quality of Delibes"; the Water Music "Mendelssohnian", declining into "an unmeritorious tune for solo cornet." But he admired King Henry's song which he thought "as charming as any insouciant and amorous song by Campion or Rosseter or Morley". He concludes that in this song, "The word-music and rhythm-melody amalgam, strongly diatonicized, begins to feel 'English' in a particular sense. Certainly Vaughan Williams would not have disowned 'Youth will needs have dalliance'."