If you fail a combat mission, one of your henchmen will end up in prison and you won't be able to use them until you find a way to get them out.
You can do a risky combat mission where three of your gang members go in to the jail and attempt to free the prisoner. There's usually a support role available which can make the task a bit easier if it succeeds. It's also a good idea to wait until any persistent wounds have healed before starting!
You can change perks, weapon and even heal the prisoner before attempting a prison break - this can make the escape part of the mission much easier.
To start, go in to the Special tab of the Jobs screen and select the henchman you want to free from the jobs offered. An example job is shown below:
You'll need to fight your way in and find the prison cell where your jailed henchman is holed up, which is indicated by a yellow exclamation mark. Send a member of your squad to stand on the spanner icon outside the cell door – the door will open, freeing your jailed henchman who will then join your squad.
Additional police will show up at the prison entrances as soon as you free the prisoner, and along with any remaining police within the prison, will start heading your way. Luckily you now have an extra squad member to help fight them.
To win you either have to get all your henchmen on to an escape zone (they can escape via different zones) or kill every single guard that's defending the prison.
If there's a Politician on the map, get warm relations with them and you'll be able to ask them to get one of your henchmen out of jail without the need for a combat mission. This saves a lot of hassle, but will result in the Politician refusing to work with you ever again so use wisely!