But their blushes were finally spared when ref Andy Hall pointed to the spot after Swedish international Andreas Johansson went down in the area after a challenge from Jay Demerit.
England Under-21's defender Ryan Taylor kept his nerve and buried the penalty in the right corner to register his first Wigan goal since his move from Tranmere Rovers.
And in the last four minutes Johansson struck twice to send Wigan safely through by a flattering scoreline.
Gary Teale had the ball in the Watford net after just 17 seconds but the celebration was cut short by an offside flag and there was no argument from the Scottish winger.
Fresh from his spectacular strike against Villa, Irish star Alan Mahon was clearly high on confidence as he tried his luck from long range but saw the shot fly just wide.
The former Blackburn ace also headed over from a Teale cross and missed the target with a left-footer after Watford only half cleared a Wigan corner.
The Latics should have taken the lead after 25 minutes when left-back Steve McMillan provided the ammo with a great ball to the back post.
Club captain Matt Jackson was completely unmarked but the centre-back's downward header was too tame and easy for keeper Alec Chamberlain.
Wigan kept up the pressure and a fierce shot from Taylor looked to be goalbound until defender Jordan Stewart got his body in the way to block it.
Another chance fell to Jackson from a free-kick after DeMerit was booked but he hit the shot wide and Taylor figured again when he tested the Hornets keeper with a low shot.
Wigan squandered another opportunity when McMillan provided the cross from the left, but Johansson glanced the header wide.
It was a disappointing first half from Watford who failed to muster a single shot on target to trouble Mike Pollitt.
But they started the second period looking like they finally meant business and twice keeper Pollitt came to Wigan's rescue.
Diving to his left, he pushed away a terrific shot from Anthony McNamee, and then reacted superbly to keep out one from Joel Grant.
At the other end Chamberlain was forced into action when Teale's cross came off defender James Chambers, and then Teale failed to find a finish after Johansson sent him racing in on goal.
Watford went close when Joel Grant played Toumani Diagouraga in, but he lashed the shot over the bar.
Then six minutes into the first period of extra time, the deadlock was finally broken thanks to Taylor and Johansson wrapped it up.