The Thing You Love Most - S1-E2
Revealing mistake: When Emma walks Henry to school, as Emma says "Because I'm the daughter of Snow White and Prince Charming?", a reflection of the clock tower building is visible in the window behind her, only there's no clock (the top two layers of the clock tower, including the clock, are visual effects). (00:13:40)
Answer: He knows who she is because he knows that the fairy tales are true. He was also shown to sneak out to go see Emma or someone else. Sometimes he succeeded, sometimes he didn't. This is how he knew to look for her despite his strict mother.