The Hornets could have quite easily been thrown off-kilter in the build-up to this Sky Bet Championship encounter, as illness saw Oscar Garcia end his 27-day stay as head coach on the eve of the match.
It saw former Scotland international McKinlay, appointed first-team coach just last Friday, thrust into his first managerial role – one which got off to the ideal start as Brentford were overcome 2-1 thanks to Vydra’s stunner and despite the late dismissal of Daniel Pudil.
Watford came flying out of the blocks in a dominant first half and, having hit the crossbar earlier in the match, Odion Ighalo maintained his composure to slot home the rebound after David Button saved his penalty.
The Nigerian’s first goal since arriving on loan from Udinese did not have the hosts ahead for long, though, as Jonathan Douglas swept home to complete a fine second-half team move to the delight of the 1,931 travelling fans.
However, Brentford manager Mark Warburton was unable to exact any revenge against his former club, with Vydra striking home a wonderful 20-yard effort to get McKinlay off to a winning start.
The former Blackburn and Fulham coach relinquished his role as Northern Ireland assistant earlier in the day in order to focus on his new role at Watford, who began brightly at Vicarage Road.
Diego Fabbrini, Vydra and Ighalo all had early chances for the Hornets, with the latter threatening again in the 15th minute with a header that rattled the crossbar.
Brentford were relying on counter-attacks and set pieces, first testing Heurelho Gomes in the 28th minute when Douglas found space from a free-kick to get a shot away at the back post.
The Irish midfielder should have done better with that opportunity – a criticism you could not level at Jota when he cut in from the left and wriggled past several Watford players before unleashing a strike Gomes could only tip over.
Alan Judge let fly from distance as the Bees enjoyed their best spell of a half which McKinlay’s side took the lead three minutes before half-time when James Tarkowski was adjudged to have brought down Ighalo.
The summer acquisition dusted himself down to take the resulting penalty and though Button saved, he converted at the second attempt.
Ighalo and Tarkowski were booked in the aftermath and Fabbrini joined them in the referee’s notebook at the start of a second half which Brentford began strongly.
Gomes denied Andre Gray as the visitors looked for an equaliser, which came in the 57th minute as a fine, flowing team move from left to right was finished by Douglas.
Warburton’s men continued in the ascendancy, only to be stung by a moment of magic from the hosts.
Brentford were guilty of failing to clear their lines and Vydra capitalised in style, rocketing home a first-time effort from the edge of the box.
It was an exquisite goal he would have added to soon after had he shown a better touch, before the impressive Moses Odubajo turned over at the other end after making himself space.
Substitute Ikechi Anya had two efforts for the hosts as the clock wound down, with Pudil sent off in stoppage time for a second bookable offence as he attempted to keep Brentford from levelling.
Gomes produced a fine save to deny the Bees from the resulting set-piece, with Lloyd Dyer seeing an effort saved in dying seconds of stoppage time at the other end.