JJ opened up to Henry about her sister, Rosaline.
Throughout 10 seasons of Criminal Minds, JJ has mentioned in passing that she had a sister. When her mother arrived to babysit Henry so JJ could investigate a case, the mother and daughter discussed the tragic story of her sister who committed suicide. After wrestling with herself over the idea of telling Henry, JJ pulled him into her arms at the end of the episode and told him lovely stories about Rosaline.
Season 10, Episode 6 "If The Shoe Fits"