Bolton caused Watford a host of problems in the first half and former Hornets striker Marvin Sordell gave his side the lead from a penalty in the 32nd minute following Daniel Pudil's foul on Sam Ricketts.
The home side responded four minutes later when on-loan Udinese striker Vydra eased past Bolton's defence to stroke home from 10 yards out, and the winner arrived 20 minutes from time when Almen Abdi stroked the ball into the bottom corner of Adam Bogdan's goal.
The Hornets went into the clash still smarting from Tuesday's defeat against npower Championship strugglers Bristol City, but were boosted by the return of 30-goal strike duo Vydra and Troy Deeney who each featured for just 30 minutes in midweek.
Bolton arrived at Vicarage Road looking for their sixth successive victory over Watford in all competitions and enjoyed the lion's share of the possession in the opening stages of the match.
But it was Watford striker Deeney who almost put his side in front after just 11 minutes when he beat Bolton's offside trap only to see his 18-yard strike saved by the legs of Trotters goalkeeper Bogdan.
The hosts continued to dominate for the next 20 minutes of the match but were held off by some resolute Bolton defending as the league's top scorers continued to draw a blank.
The visitors then turned defence into attack and were awarded a penalty in the 32nd minute when defender Ricketts was brought down in the box by Pudil.
Sordell struck low and hard from the spot to give his side a 1-0 lead over his former employers.
Gianfranco Zola's men equalised just four minutes later when Cristian Battocchio flicked the ball forward to Vydra who dummied before skipping past the defender to slot home from the centre of the penalty area.
Watford then piled the pressure on their opponents, who managed to hold them off to keep it 1-1 going into the break.
Watford had the best of the chances in what was a largely scrappy second half.
Eventually the home side's pressure told as Abdi gave them the lead in the 70th minute from the edge of the area after a sustained spell of possession.
The Hornets dominated in the closing stages as Bolton ran out of ideas, and comfortably saw out the remaining 20 minutes.