Here are some sights for audio versions of the wonderful G.A. Henty stories:
Jim Hodges Audio Books He even has some vocabulary to offer, as well as some other audio texts.
Beloved Books offers Henty, and a great selection of other tools worth checking out, including the Little Britches series by Ralph Moody, some great historical fiction, Kingdom Songs and some great KJV Memory Songs that are really fun.
Sing N Learn offers several items of note at their sight, including Adventures in Odyssey, Jonathan Park, Sugar Creek Gang and others...check out their Radio Drama pages.
Family Travel Gear offers some Henty as well