Danny Graham's 21st goal of the season made it an unhappy return to Vicarage Road for Millwall boss Kenny Jackett.
Jackett enjoyed a sparkling playing career with Watford and was given a warm welcome by the Hornets' faithful - but he would much rathee have had the three points after watching his Millwall side dominate away from The Den, yet again come away empty-handed.
Millwall last won on the road with a 1-0 victory at Middlesbrough nearly four months ago, and they did everything but score in this encounter.
The Lions certainly weren't lacking in terms of effort and commitment on a lumpy, bumpy playing surface, but the statistics don't lie - The Hornets mustered two shots on target all afternoon compared to eight by Millwall, yet The Lions ended up goalless and point-less.
"It was a tight game on a tough pitch," said Kenny. "They put us under pressure at the start, but our creation of chances was very good.
I was very disappointed to come away with nothing; we certainly didn't deserve to lose. We had enough of the play, enough of the ball and enough chances, but we couldn't finish them off.
In the last half an hour we went to sling the ball in quickly and sometimes selected the wrong final ball going forward. It's the small details that can make a big difference."
After sustaining early pressure during which Watford forced two corners in as many minutes, it was Jackett's men who created the first decent scoring chance on five minutes with a sweeping move that saw Steve Morison use his strength and awareness to create an opening for Liam Trotter, but his shot on the turn flew narrowly wide of the target.
Morison was again involved after 12 minutes when he picked up a neat James Henry threaded pass on the right and although his cross appeared to clip the arm of Martin Taylor,the striker's appeal for a openalty fell on deaf ears.
Millwall had a real chance to break the deadlock on the quarter hour when Trotter's low cross was half cleared, the ball fell invitingly for Danny Schofield who lashed over from 10 yards with the goal at his mercy.
A smart interchange by Morison and Henry saw the latter's 21st-minute fierce cross-shot parried by home keeper Scott Loach, but there was no-one there to steer the loose ball home as Jackett's men continued to ask questions of the home defence.
A great move 10 minutes before the break involving Henry and Alan Dunne on the overlap, could have yielded the opening goal when Dunne's delicious delivery picked out Schofield at the far post. He rose high to send a looping header towards goal, but unfortunately for The Lions, Hornets keeper Loach scooped clear from under the bar and when Trotter swung a boot at the loose ball he was unable to make a clean connection and the danger was eventually averted.
Loach came to the rescue again, parrying a fine low cross from Henry and then getting a hand to divert Darren Purse's header away from Henry's 44th-minute corner as Millwall continued to press forward.
At the other end Lions keeper David Forde was called to make just one save in the opening half, taking no chances as he palmed Adrian Mariappa's audacious 45-yard lob over the bar for a corner.
The busy Loach was called into action within seconds of the second half, brilliantly parrying a Henry piledriver and when Schofield just couldn't get enough purchase on the ball following great work by Trotter and Morison, it looked promising for The Lions again.
However, the danger was that Watford would capitalise on Millwall's profligacy in front of goal and that's exactly what happen six minutes after the break, with a goal totally against the run of play.
Millwall didn't clear their lines following a routine throw in from the right, Don Cowie whipped the ball back in and Graham just got ahead of Paul Robinson, turned smartly before squeezing the ball into the bottom right corner with a precision finish beyond the reach of Forde.
Back came Millwall with Alan Dunne stealing in on the blindside to direct a header straight into Loach's hands as Jackett's charges looked for an instant response.
Jackett introduced Scott Barron and Kevin Lisbie for Tony Craig and Craig Eastmond, with Trotter dropping back into midfield as The Lions reverted to a 4-4-2 formation but Watford responded with a move to negate that and so Jackett responded in kind again, bringing on Neil Harris for the tiring Henry in a 4-3-3 system.
Within seconds of Harris' introduction Millwall came desperately close to equalising when Lisbie used his body well to shield the ball and tee up Morison, only for keeper Loach to fling himself to block the striker's effort.
Morison then somehow contrived to drive wide of the target with a gilt-edged opportunity following a slick move involving Lisbie and Dunne and as the minutes ticked away, so grew Millwall's desperation to find that elusive equaliser.
Both Barron and Tam Mkandawire tried to go it alone, hitting high and wide of the target in the latter stages, but hard as The Lions tried, they just could not find that little bit of magic or composure to penentrate the yellow brick wall of the Watford defence.
Watford: Loach, Hodson, Taylor, Mariappa, Cowie, Deeney, Graham, Buckley (Mingoia, 76mins), Jenkins, Weimann (Sordell, 68mins) Thompson (Bennett, 72mins). Subs not used: Gilmartin, Whichelow, Murray, Isaac.
Millwall: Forde, Dunne, Craig (Barron, 61mins), Eastmond (Lisbie, 61mins) Robinson, Purse, Schofield, Mkandawire, Trotter, Morison, Henry (Harris, 72mins). Subs not used: Mildenhall, Rowlands, Ward, McQuoid.
Booking: Purse (89mins)
Ref: G Salisbury
Att: 13,539 (away 2,229)