Joab Jerome had a game-high eight rebounds to help Winthrop (9-11, 3-5) outrebound Coastal Carolina 39-27.
On top 40-36 with 8:32 left to play, Winthrop went on a 10-2 run to take a 51-38 lead with 5:31 remaining. Smith and Henry made back-to-back 3-pointers during the stretch.
Badou Diagne's 3-pointer for Coastal Carolina cut the deficit to seven, 55-48 at the 2:38 mark, but Smith answered with his fourth 3-pointer to make it a double-digit game, 58-48, with 2:01 to play. Coastal Carolina failed to score again.
The Eagles held the Chanticleers to just 33.3 percent (8 of 24) in the second half.
Anthony Raffa led Coastal Carolina (9-10, 4-4) with 16 points, but scored only two points after the intermission.
The Big 12/SEC Challenge will again feature Kansas and Kentucky, this time at Rupp Arena. That's not the only exciting matchup in next season's midseason conference showdown.
Northwestern has never made the NCAA tournament, but the Wildcats' upward trajectory suggests 2016-17 could finally be the season it happens.
Dillon Brooks, who led Oregon with 16.7 points per game last season, and Tyler Dorsey will opt out of the NBA draft process and return to the Ducks, sources told ESPN.