A 3rd minute strike by Golden Boys' captain, Gavin Mahon has Aidy Boothroyd's men ahead at the break.
A long diagonal ball from Marlon King flashed across a ruck of players in the Southampton penalty area, and Mahon calmly slotted home past former Brentford team mate Paul Smith in the Saints goal from eight yards.
Watford have controlled possession throughout the first period, and Darius Henderson almost doubled the visitors lead after getting his head to a telling Ashley Young free-kick, but his effort just fizzed the wrong side of the left hand upright.
Henderson again came close after collecting a long punt up field from goalie, Ben Foster but his snap shot just cleared the cross bar with Smith struggling.
The hosts have been competitive but created very little to trouble the visitor's goal thus far.