The Hornets appeared to be heading for a goalless draw at the King Power Stadium on Thursday, leaving the tie evenly poised for a return date at Vicarage Road on Sunday.
David Nugent was, however, to glance home an 82nd minute header for the hosts, handing them a narrow first leg advantage.
Watford have already seen their promotion dreams dealt one hefty blow this season, as they missed out on a top-two finish on the final day, but Zola insists they will not allow their heads to drop after suffering another setback.
He told Sky Sports: "Honestly, I didn't expect them to score, I didn't see it coming. I thought we looked like we were in control of the game.
"We had a few chances that we should have scored. That's the Championship, there have been many times like that, it's been like this for the whole season.
"It's only half-time and we take a lot of positives. We are in the game and looking forward to playing on Sunday."
He added: "We have to win the game, that's what we want. We are going to be doing exactly what we have done many times, trying to play our game and win.
"It's going to be tough because this result will give them a lot of confidence, but we have a lot of confidence too because even today we played a good game."