The Tigers were by far the better team in the first half and took the lead when David Meyler headed home after a Corry Evans shot had rebounded off the crossbar.
Watford improved after the break and Almen Abdi hit the post before the Tigers doubled their lead through Robbie Brady's 25-yard free-kick.
Nathaniel Chalobah could have set up an exciting finale had his shot not been cleared off the line, although the Hornets did score in injury time when Troy Deeney netted his seventh goal in six games.
Asked whether it was the result or performance that disappointed him the most, Hornets head coach Zola replied: "I think it was a bit of both, probably I'm more disappointed in the performance in the first half.
"The second half was better, the approach was better, we created more chances, we could even have drawn the game in the end but you can't give away 45 minutes like we did."
Watford were better after half-time and Zola explained: "We took a defender off, we put Marco (Cassetti) in the middle and Ikechi (Anya) has given something extra going forward, he was very good, and when (Almen) Abdi came on he's given us something very good in the middle.
"But the level of the team stepped forward in the second half and it was better, they were more worried defensively and that was the difference in the second half.
"I don't see this as a step back, it's just part of the journey. You can't expect with our team to win all the games.
"Sometimes you lose and you learn something from it, as I hope everybody will, and with more energy we go forward again."
- Sports & Recreation
- Almen Abdi
- David Meyler