The home side got back into the game and by half time were level. Tom Cleverley scored on 21 mins to level the match before Will Hoskins round off a breakaway move to make it 2 - 1 to Watford.
Watford's failure to make the game safe in the first half came back to haunt them as Leon Best scored on 67 and 84 ti win the game for Coventry.
The Hornets tried to rescue somehting but they were up against an inspired Kieren Westwood in the Coventry goal.
It's home again on Saturday as Watford welcome Cardiff City.