Italian Sannino, who had been out of work since being sacked by Chievo in November, revealed on Tuesday that he was due to fly to England.
The Hornets have wasted little time in entrusting him with the task of replacing former Italy and Chelsea forward Zola, announcing the appointment on their website.
Sannino, 55, has spent 17 years coaching the likes of Siena, Palermo and Verona and brings assistant coaches Francesco Troise, Giovanni Cusatis and Paolo De Toffo with him to Vicarage Road.
The Sky Bet Championship club's owners, the Pozzo family, are Italian, and Watford retained strong links with the country during Zola's tenure, loaning a host of players from Serie A team Udinese last season.
Former Chelsea striker Zola revealed on Monday that he would be stepping down from his position after a run of nine matches without a win left them 13th in the table.
That poor sequence left the Hornets eight points adrift of the top six during a season where they were expected to challenge for promotion following last term's play-off final defeat to Crystal Palace at Wembley.
In an open letter addressed to Hornets supporters, Zola said: "I feel that it is in the best interests of the team that somebody new is given the chance to bring the success which we have all hoped for and worked very hard for.
"It is for a variety of reasons, and not just over one matter or one moment, that I feel this is the right decision for me, in the best interests of the club - and I know I can trust you, the supporters, to respect my decision fully."
Sannino was quickly installed as the favourite to succeed Zola and the new boss will take charge of his first game on Saturday for the trip to Ipswich at Portman Road before Watford close out the year with two home games against Millwall and QPR.