Ben Foster produced a series of fine stops to ensure Rovers returned north with nothing to show for their efforts against a stubborn Watford side.
Two quickfire goals from Joao Pedro and Tom Cleverley put the hosts in command at Vicarage Road, before a stunning Ben Brereton strike halves the deficit in Hertforshire.
Rovers dominated throughout, but Darragh Lenihan's unfortunate own goal early in the second half allowed Vladimir Ivic's team to regain their two-goal advantage.
Key moments didn't go Rovers' way throughout, most notably with the oustanding Foster stopping Adam Armstrong from the spot midway through the second half.
The boss made two changes to his team, with Lewis Holtby returning to the starting XI whilst Harvey Elliott made his debut for the club following his deadline day arrival on loan from Premier League champions Liverpool.
The duo came in for John Buckley and Tyrhys Dolan, with the pair available off the bench if required.
Rovers began brightly in Hertfordshire, and had the first opportunity of the game 12 minutes into the encounter but the impressive Foster was alert to beat away Armstrong's left-footed effort after excellent play from Elliott and Ryan Nyambe.
That save proved to be vital from Foster, as just a minute later the hosts took the lead via frontman Pedro.
James Garner's excellent through ball fed Ismaila Sarr, and the Senegalese winger picked out the Brazilian hitman who volleyed past Thomas Kaminski and into the bottom corner.
Four minutes later and a clinical Watford made it 2-0 through Cleverley's header. Garner's hoof forward was controlled well by Sarr, and after Kaminski parried his effort at goal, ex-England man Cleverley was there to nod into an empty net from close range.
At the other end, Lenihan and Daniel Ayala were both denied by Foster, with Holtby the set piece architect for both quickfire opportunities.
Rovers got what they deserved with an outstanding Brereton strike that caught out Foster and get the visitors back in the game just before the half hour mark.
Armstrong won his battle with Christian Kabasele, and his header teed up Brereton kindly, but he still had plenty of work to do. The touch on the chest was perfect, and the second touch saw him take a thumping volley early and see it nestle into the bottom corner despite Foster getting the slightest of touches.
But that goal could and should have counted for nothing just a moment later as Watford went close to making it 3-1. Once again Sarr was the threat, with another fine run and cross seeing him pick out Pedro, but he prodded wide with his right foot when he really should have scored.
There were five minutes of the half remaining when Armstrong had his next opportunity, but after Corry Evans' shot was blocked and fell into his path, the diminutive forward could only rifle over the upright.
Rovers went in search of starting the half positively, but were dealt a hammer blow four minutes after the interval as Lenihan turned Ken Sema's pinpoint cross into his own net under pressure from Pedro.
A good opportunity came and went soon after as Elliott played in Armstrong, but Foster got a touch on his attempted lob to turn over the upright.
It was almost Foster v Rovers at Vicarage Road, and the custodian stopped Armstrong's penalty after Holtby was taken down in the box by Craig Cathcart.
Armstrong opted to go right from the spot, but Foster guessed correctly to dive and push away the striker's effort and preserve Watford's two-goal advantage.
It would have been unjust for the hosts to have scored a fourth of the night, but only a fine stop from Kaminski denied the dangerous Sarr from close range with 15 minutes remaining.
Rovers continued to probe, but couldn't find a way was Foster, who was imperious in the home goal as Mowbray's men went home empty-handed.
Watford: Foster, Wilmot, Cleverley (c) (Capoue, 61), Pedro, Sema, Chalobah, Cathcart, Garner, Feminia (Ngakia, 72), Sarr (Quina, 89), Kabasele.
Unused substitutes: Bachmann, Ekong, Murray, Perica.
Goals: Pedro, 13, Cleverley, 17, Lenihan, 49.
Booked: Kabasele, 23, Ngakia, 75, Pedro, 84
Rovers: Kaminski, Nyambe, Lenihan (c), Ayala (Wharton, 66), Bell, Evans (Trybull, 70), Holtby, Johnson, Elliott, Armstrong, Brereton (Dolan, 77).
Unused substitutes: Pears, Douglas, Buckley, Rankin-Costello.
Goal: Brereton, 28.
Referee: Andy Woolmer.