Henry, 25, who plays club football for Lyon, will bid to become the first non-German to win the title as Marozsan, 23, and former FFC Frankfurt club-mate Sasic are looking to make it three wins out of three for their nation.
Sasic, 27, announced her retirement last month after Germany finished fourth in the Women's World Cup in Canada, where she was the joint top scorer with six goals.
Striker Sasic and midfielder Marozsan, 28, also won the Women's Champions League title with Frankfurt last season.
Henry helped Lyon win the French league title last season and played a key role in France's run to the World Cup quarter-finals where they lost on penalties to Germany.
The final vote will take place on August 27 in Monaco, the same day the men's winner will be announced with Barcelona's Uruguay forward Luis Suarez on the three-man shortlist with Lionel Messi and last year's winner Cristiano Ronaldo.
Standout matches today