The hosts were in front after just 34 seconds, as Etienne Capoue rattled in Troy Deeney's knock-down to give Watford a 1-0 lead.
The Hornets made it 2-0 shortly after through Roberto Pereyra and while Riyad Mahrez pulled one back from 12 yards to halve the deficit, Claudio Ranieri's men couldn't find a second breakthrough.