imitative of laughter, Old English.
Ha ha and he he getacniað hlehter on leden and on englisc. [Ælfric, "Grammar," c.1000]
Online Etymology Dictionary, © 2010 Douglas Harper
Examples from the Web for he-he
I shouldn't have been a Napoleon, but I might have been a major, he-he!Crime and Punishment
She turned into Regent Street and another 'he-he' floated back.A Bed of Roses
W. L. George
If they cast themselves upon the beds, they are mine, he-he!Mighty Mikko
By granny, I'm going to plug m' ears good with cotton when it comes off—he-he!
He says to me: 'That guard'll stop any fire I ever saw,' and I got right back at him—he-he!