The Latics went in level at half time as Chris McCann equalised Troy Deeney's opener. However the Hornets striker added a winner just eight minutes from time to crush hopes of a point for Mackay.
Speaking about the game the newly appointed Wigan manager said: “To be involved in the game as much as we were and then lose is something that I’m disappointed about,” Mackay explained.
“I can’t be too hard on them, though, after playing as they did because I thought we started really well and then I thought Watford came into it and got the goal which was a sloppy one as far as we we’re concerned.
“As the first-half wore on, I thought we wrestled it back and deservedly got the goal and went in even at half-time.
“I was happy with how we started the second-half; I thought we had impetus and confidence in the way that we were playing to cause them some problems so to lose a goal was a hard one for them to take because of the amount they’d been in the game.”
Next up for the Latics is a must win game at home to fellow strugglers Rotherham United at the DW Stadium.