David Nugent scored the only goal of the game with just eight minutes remaining. It was his first goal in 17 games.
Although Leicester dominated the first half, they failed to make the most of their chances created with their pace and power.
Watford improved after the interval and both Matej Vydra and Alex Geijo wasted glorious chances.
Nugent made them pay by heading home Anthony Knockaert?s late free-kick. The goal secures the advantage for Leicester ahead of Sunday?s second leg.
It was the attacker?s first goal since January but could prove to be one of his most important in his career.
Leicester rattled Watford in the first 15 minutes of the game, with Nugent testing fit-again goalkeeper Manuel Almunia and Ritchie da Laet saw a header saved.
In a wet, blustery evening in the Midlands, Watford rode the storm and nearly went ahead themselves. Ikechi Anya tested the Leicester goalkeeper after running clear of the Leicester backline and, moments later, Marco Cassetti struck over from distance.
Leicester were very dangerous on the break. Nugent should have scored but side-footed wide from 12 yards after some neat work by the pacey Lloyd Dyer. Knockaert went close after speeding clear of his defender down Leicester?s lively right.
Although the frantic pace continued after half-time, chances became at a premium. It was Watford who briefly looked the more measured and more controlled of the two sides. Vydra fluffed his lines when played in one-on-one on the Leicester goal and Geijdo should have done better with a back post header.
However, Nugent rose to head in his goal well late on when Knockaert sent over a teasing cross. The win gives Leicester a deserved yet slender lead as they go into the second leg on Sunday at Vicarage Road.
Source: DSG
Source: DSG