Nugent put Preston ahead on the hour, taking a pass from Brian O'Neil to score with a simple finish.
And they doubled their lead 11 minutes later, McKenna lashing home from outside the area after Graham Alexander's tapped free-kick.
Heidar Helguson wasted opportunities for struggling Watford as Preston made it one defeat in 16 league games.
Preston boss Billy Davies:
"The season is a long way from over.
"We've got another win and it was important playing on what is a difficult surface, in the heat and against a side that's not easy to beat.
"We showed good discipline throughout the game. We were very professional and deserved three points."
Watford: Lee, Ardley (Eagles 67), Doyley, Cox, Smith (McNamee 67), Chambers, Gunnarsson, Mahon, Jackson, Webber (Dyer 73), Helguson.
Subs Not Used: Chamberlain, Bouazza.
Preston: Day, Alexander, Mawene, Lucketti, Davidson, Sedgwick (Davis 80), McKenna, O'Neil, Lewis (Hill 64), Cresswell, Nugent (Agyemang 74).
Subs Not Used: Ward, Folly.
Booked: McKenna, Davidson.
Goals: Nugent 60, McKenna 71.
Ref: M Jones (Cheshire).