Tom Bradshaw's first-half hat-trick helped Millwall inflict a third defeat on Watford in their past four games under Slaven Bilic.
Bradshaw finished superbly as he pounced on Mattie Pollock's error to put the Lions ahead early on before the in-form forward got a second from close range.
The 30-year-old got his third soon after following some good control in the box as Watford struggled to deal with the hosts' aerial threat.
Samuel Kalu hit the post for the Hornets in stoppage time as Watford failed to score for the first time since Bilic replaced Rob Edwards as manager last month.