Cardiff's miserable home form continued as they slipped to a third successive defeat at Ninian Park.
Darius Henderson made it four goals in two games with one in each half for the visitors and Jimmy Floyd Hasselbaink gave home supporters hope with his first goal for the club.
The visitors took the lead in the 17th minute when Ross Turnbull failed to find distance with a punch after an Adam Johnson free-kick. With Turnbull on the deck after colliding with one of his own players, the ball rolled towards an open goal and Henderson slid in to make sure.
Hasselbaink had a great chance to equalise in the 36th minute when he latched on to a poor back-pass from Jay DeMerit but he ran wide and Mart Poom was able to block.
The Bluebirds were level after 61 minutes when the ball broke to Hasselbaink from Trevor Sinclair and he curled his shot into the net from 20 yards.
The Bluebirds discovered a new belief and Watford were pushed back on the defensive for long periods and Hasselbaink brought a great save from Poom in the 72nd minute.
Two minutes later, Sinclair had only Poom to beat but the Hornets keeper saved with his legs.
Watford regained the lead in the 77th minute when City cleared a corner but left Henderson onside and he easily beat Turnbull from close-range.
Colchester's impressive start to the season continued at Southampton, where they claimed a deserved share of the points on a night of many chances.
Bradley Wright-Phillips gave Southampton the lead in the 52nd minute, but Colchester were level six minutes later.
There was an element of fortune about the goal as Mark Yeates crossed low into the area from the right and the ball was diverted passed Southampton goalkeeper Kelvin Davis by the outstretched leg of defender Rudi Skacel.