Most literary critics refer to Henry VIII as a "history play." A Shakespearean history play portrays English historical events that resonate with current political issues (current in Shakespeare's time, that is), including issues like kingship, constitutions, and rebellions. If all this has you wanting to hit the snooze button, think again, because Shakespeare spices up "history" with a little fiction. He's the master of focusing on the good stuff and blowing it out of proportion for dramatic effect.
In Henry VIII, Shakespeare took the best bits of recent English history, condensed them, omitted the boring stuff, and fictionalized entire interactions to create this play. Unlike Shakespeare's other history plays, Henry VIII doesn't come as part of a package deal: it doesn't have prequels or sequels like most of them do.
Maybe that's because Shakespeare's own queen (Queen Elizabeth I) shows up at the end of the play as a baby, and she made a law that playwrights couldn't write about current historical events. Shakespeare totally did write about current historical events—just in disguise. He does that here, too, but there's a little less wiggle room than usual.