The midfielder scored three minutes into stoppage time to stun Gianfranco Zola's Championship side, who led through Ikechi Anya's fine goal until six minutes from the end.
Zola made nine changes to his line-up and they had a let-off after 18 minutes when Alan Connell's effort came back off the far post, and Zavon Hines was denied a penalty when Martin Taylor clipped his legs as he attempted to put in the rebound.
Bradford threatened again before the interval when Jonathan Bond was forced to tip a stinging drive from Gary Jones around the post.
But the Hornets went ahead after 71 minutes when the ball dropped to Anya 25 yards out and the winger crashed in a half-volley that was still rising as it hit Jon McLaughlin's net.
Watford could have been home and hosed moments later but substitute Almen Abdi's shot struck the post.
Instead, with six minutes left, the hosts failed to clear a long ball into the area and Kyel Reid lashed home.
And with extra time looming Thompson sent the Hornets spinning out as he drilled his shot past Bond from 15 yards.| Team Name | Watford | Bradford City |
| Possession | 50% | 50% |
| Goals | 1 | 2 |
| Shots On Target | 4 | 3 |
| Shots Off Target | 4 | 2 |
| Blocked Shots | 0 | 0 |
| Corners | 8 | 3 |
| Fouls Conceded | 9 | 8 |
| Offsides | 3 | 4 |
| Yellow Cards | 0 | 0 |
| Red Cards | 0 | 0 |
