While Preston have now only lost once in 14 games Watford have not won in their last five outings and are slowly sinking towards the relegation zone.
The Hornets had an escape in the first half when Richard Cresswell was played in by Brian O'Neil's quickly taken free-kick, but although he had only Richard Lee to beat he thumped the ball over the crossbar.
Preston looked solid and relatively untroubled before the interval but the visitors scored just when Watford seemed to be finding their feet.
The home side were looking to clear a rare Preston attack but McKenna closed down quickly on Neal Ardley and managed to stick out a foot to thump the ball forward. Nugent was a pace up on his marker and ran onto the ball and slotted home in style.
Eleven minutes later a deflated Watford half-cleared a free-kick and the ball fell to McKenna who fired in unchallenged from just outside the box.
Bruce Dyer scuffed a shot wide of the far post and Johnnie Jackson saw a shot blocked, but Watford failed to put Preston's composed defence under any real pressure in the closing stages.