We consider a measurable dynamical system preserving a probability measure $\nu$. If the system is exponentially mixing of all orders for suitable observables, we prove that these observables satisfy the Central Limit Theorem (CLT) with respect to $\nu$. We show that the measure of maximal entropy of every complex Hénon map is exponentially mixing of all orders for Hölder observables. It follows that the CLT holds for all complex Hénon maps and Hölder observables.