Hessenthaler provided the cross to set up the only goal of the game after 64 minutes. But even he admitted: "We rode our luck because Watford created several good chances."
Watford boss Ray Lewington has now seen his side go seven league games without a win, having scored only once in six outings.
"Our problem is plain for all to see. We do not have a lot of goals in the team. We missed some chances tonight," he said.
Leading scorer Heidar Helguson was the biggest culprit. In the Hornets' first attack Gavin Mahon hit the post and the rebound fell to Helguson who took too much time for a follow up shot and the chance was lost.
Then when Paul Robinson slipped him through Helguson fired the ball tamely wide of Jason Brown and the far post.
Next Helguson headed down and into the arms of the keeper when set up by a cross from Stephen Glass.
Micah Hyde headed off the line from Tommy Johnson after 13 minutes but otherwise Watford's defence was untroubled. When Robinson again set Helguson clear he again fired over the target and then Mahon stabbed another chance straight at the keeper.
Just before the interval Glass moved onto a header from Neil Cox but he too failed to test Brown.
Early in the second half Helguson won the ball off a Gills defender and broke away but Brown had no worries about a shot that lacked confidence.
Watford were caught by a sucker punch when Hessenthaler's cross was nodded down by Chris Hope and Paul Shaw gathered the ball before slipping it past Alec Chamberlain.
Substitute Gifton Noel-Williams was frustrated in the dying minutes when Gillingham's Nayron Nosworthy cleared off the line.