The Eagles' highly-rated young winger, who is expected to be a target for a host of top-flight clubs in January, enhanced his growing reputation with a superb second-half strike.
Zaha applied the finishing touch to a rare quality move to take his tally for the season to five, and substitute Jermaine Easter grabbed a late second to make it back-to-back away wins for Palace.
The hosts will consider themselves unfortunate, though, especially after Joe Garner rattled the woodwork early in the first half.
They handed a debut to Michael Kightly and the on-loan Wolves winger was immediately in the action, forcing Palace keeper Julian Speroni to touch his shot around the post.
Kightly fired another 25-yard effort wide and then set up Garner, who thumped his shot against the foot of the post with Speroni beaten.
Palace had their chances too in the opening stages, with Sean Scannell firing a free-kick too high, Nathaniel Clyne unable to finish after a mazy run into the area and Glenn Murray heading over.
Their best opportunity of the first half came in the 33rd minute when Zaha drilled a dangerous cross into the box.
But Murray missed his kick in front of goal and, when the ball ran to Scannell, he put his shot too close to Scott Loach who was able to make a comfortable save.
After the break Hornets midfielder John Eustace got his head onto a cross from Carl Dickinson but his effort flew straight into the arms of Speroni.
Watford were forced into a change just before the hour mark when giant centre-half Martin Taylor went off injured with David Mirfin coming into the back four.
And the breakthrough finally came in the 65th minute from a lightning Palace counter-attack.
David Wright played the ball out of his own half to Scannell, whose inch-perfect pass sent Zaha racing inside Dickinson and the starlet's first-time shot flew across Loach and high into the net.
Zaha could have grabbed another when he was played in by Murray as Mirfin slipped, but he put an easier chance than the one he scored wide of Loach's right-hand post.
But Easter wrapped up the win in stoppage time with a fine run and shot to ensure Palace took the points back to south London.