There was Bridewell palace in London

..and the Palace of Beaulieu in Essex.
Fotheringhay Castle belonged to Catherine of Aragon.
Havering (Manor) Palace in Essex.
Thornbury Castle in Gloucester (near you, Kimberly!) was confiscated from the Duke of Buckingham.
Henry had his own building department called The King's Works . It had a central office in Westminster and five permanent offices in Calais, Berwick, Chester, Denbigh (these dealt with castles and fortifications)and Windsor. It was the central office that dealt with the palaces and there were temporary local offices for the various building projects that went on.