The Hornets suffered heartbreak on the final day of the regular season when Hull City pipped them to automatic promotion but Schmeichel knows the Foxes still face a tough test.
"There's no time to feel sorry for yourself in football, especially with this short amount of time between the games," he told Sky Sports News.
"It must be difficult but they'll pick themselves up and I'm sure there'll be more than up for the game on Thursday. Just like we will."
In contrast to their opponents, Nigel Pearson's Leicester side are delighted to be in the play-offs after scoring late against Nottingham Forest to edge their way into the top six.
And Schmeichel is confident they have a chance of reaching a Wembley final despite finishing three places below Gianfranco Zola's Watford.
"Well, if we play the way we did against Forest then I think we've got a good chance but we're under no illusions, they're going to be up for it," added the Danish keeper.
"They've got a very good manager and some experienced players in there who are going to make sure that they're up for it."
The first leg of the play-off semi-final takes place at the King Power Stadium live on Sky Sports 1 HD on Thursday evening (7.45pm kick-off).