Both Deeney and Marco Cassetti had chances at the other end, but neither managed to hit the target despite good build-up play.
Watford upped their game in the second half and should have drawn level on 50 minutes when the ball was headed into the path of Fernando Forestieri, who missed a sitter.
Forestieri made amends for his glaring miss on 68 minutes when his deflected strike got the better of Huddersfield keeper Alex Smithies and ended up in the net.
Things went from bad to worse for the hosts on 82 minutes when Fitz Hall put the visitors in front, but it was a lead that would last less than two minutes thanks to Alan Lee's strike at the other end.
Huddersfield fans breathed a sigh of relief believing that they had rescued a point, but more drama ensued as Watford were awarded a late penalty when Cassetti went down in the box.
Deeney smashed home the resulting spot kick to break Huddersfield hearts and give Watford all three points.