The only goal of a tight game with few chances came with eight minutes remaining when Cristian Battocchio fired home from the edge of the area after a Davide Faraoni shot had been blocked.
Hornets head coach Zola said: "I think it was probably one of the toughest games I've had since I've been here.
"A typical game between two top teams and where the values of the teams are very similar so there's a kind of balance, equilibrium on the pitch and you just have to be patient, keep working hard and wait for your opportunity to come and try to score.
"That's exactly what happened today. Don't forget also it was the fifth game in two weeks and that counts and so the quality of the game cannot be fantastic.
"But we showed a lot of character to win this game and that is something that will be very important from now and until the end of the season."
It looked like the game was heading for a goalless stalemate until Battocchio scored and Zola acknowleged: "The game was completely flat.
"We were not creating enough, they were not creating enough. They were good to be honest because they press well all over the pitch and they kept the ball quite well.
"That was the difficulty because it was difficult for us to keep the ball and it was tough to get it back today because of the quality, experience they have in the side.
"Then we tried to change it. We sacrificed one midfielder for another striker to try and change the balance and it worked - and I'm delighted."
Nick Powell looked to have given Wigan the lead in the first half but it was ruled out for an offside decision against James McClean, who had crossed the ball.
Zola admitted "it wasn't offside" and Latics boss Owen Coyle was also aggrieved because he felt should have had a penalty in the second half when Powell was challenged by Lloyd Doyley in the 18-yard box.
"There's no debate," Coyle said. "James McClean's a yard-and-a-half onside. We knew at the time. Bizarre doesn't cover it.
"We were terrific today. Watford are a very good side and will challenge as we will to get back to the Premier League but to come here and give the level of performance we did with our fourth game in nine days, the players were an absolute credit.
"We lost (Marc-Antoine) Fortune [to injury in the first half] and had to change things again but it didn't affect the team because they were outstanding.
"We scored a perfectly good goal - I don't envy the referee, or the officials, their job - but at this level, we understand little fouls sometimes you'll get, sometimes you won't - but you've got to get the major decisions right."
The Wigan boss continued: "We had a stonewall penalty in the second half at 0-0 when Powell's robbed Doyley, Doyley's kicked him and you know Doyley's kicked him straight away because he's put his hands up in the air. The whole stadium knew it was a penalty and it's not given.
"We should still be leaving at 0-0 and obviously the lad's finished a great goal, all credit to him, but the deflection obviously went their way so probably every bit of luck that was going went Watford's way today.
"I can't fault the players and how they went about it today. We know we've come off the wrong side of two huge decisions and both 0-0 at the time.
"There's no doubt that certainly would have put us in front and then enough to win us the game."