Danny Webber struck in time added on to grab three points for Watford.
Earlier, Gareth Williams' effort rebounded off Richard Lee's shins and Lee also denied David Connolly, while Webber forced Ian Walker into a save.
Walker parried Neil Ardley's dipping volley after the interval and made a double save from Webber before Connolly twice rattled the woodwork late on.
With time running out, Bruce Dyer headed on a Lee goalkick and Webber slotted the ball past Walker.
Leicester boss Micky Adams on losing and Jamie Scowcroft's injury:
"We're hurting because we've been mugged, we created more than enough chances
to have won that game.
"And on top of all that, Jamie picked up a nasty knock on his fibula which
came after I'd used all three subs.
"That had effectively reduced us to 10 men. He's going to have to go for X-rays but it doesn't look too clever."
Watford boss Ray Lewington:
"You look at the fixtures at the start of the season and you know this is going to be a hard one so I'm delighted to have kept a clean sheet and come away with all three points.
"We deserved it too because we created some good opportunities. Danny Webber had earlier missed a very similar opportunity to the one from which he scored.
"We had our share of luck when Connolly hit the outside of both posts but we showed plenty of team spirit and character to get a victory."
Leicester: Walker, Heath, Dabizas, Keown (Benjamin 55), Tiatto,
Canero, Williams, Gudjonsson (Gemmill 60), Wilcox (Stewart 60),
Subs Not Used: Nalis, Blake.
Watford: Lee, Chambers, Cox, Dyche, Mayo, Devlin,
Gunnarsson (Young 77), Mahon, Ardley, Helguson (Dyer 90),
Subs Not Used: Chamberlain, Darlington, Bouazza.
Booked: Helguson, Young.
Goals: Webber 90.
Ref: A Marriner (W Midlands).