Matej Vydra seized on Rhys Williams' poor back-pass to give Zola's side a first-half lead against the run of play, and the striker scored again after the break to put Watford 2-0 up.
Scott MacDonald struck for Boro, but his reply came too late to prevent the end of a four-match winning streak at the Riverside.
Zola said: "The first goal was a present from them. We probably didn't deserve to be leading at that point. They were the better side in the first half. They had a lot of chances but didn't take them.
"But in the second half we were excellent, as a team and as individuals. We stepped up a level and were much more positive. Everybody was much more tuned in.
"I took a lot of pleasure from the performance because they are a good side and we beat them in their own stadium."
Watford are sixth, four points behind Boro with a game in hand, but Zola warned "We are not perfect, letting a goal in late on showed that. We have to keep working."