Considering the definitions of both the laws:
Henry's law: The solubility of a gas in a liquid is directly proportional to the partial pressure of the gas above the liquid.
Rault's law: The partial vapor pressure of each component of an ideal mixture of liquids is equal to the vapor pressure of the pure component multiplied by its mole fraction in the mixture.
So, it can be clearly seen that while Henry's law relates the partial pressure of a gas in the gaseous phase to the concentration in the liquid phase (two-phase equilibria), Roult's law relates the partial pressure of the gas to its concentration in gas phase only (single phase equilibria).