The Spaniard joined the Championship side on a free transfer this summer after eight years with the Gunners.
Almunia's tenure at Arsenal will be remembered mainly for his blunders, and the 35-year-old is glad to be where he is appreciated.
"After Arsenal, I just wanted to go to a place where I feel wanted, respected and loved, and made to feel like a good goalkeeper again," he told The Mirror. "That's what I have found at Watford.
"On my first day at Watford, the captain, John Eustace, came to me and said, 'We needed a good goalkeeper and we are lucky you are here'. That made me feel proud and good about myself.
"As a person, I always felt loved and respected at Arsenal, but as a player it is different. When you don't play you don't feel wanted or loved and your self-belief goes down. Once you stop being with the team every weekend and travelling with the team, people forget you."
Watford will begin their Championship campaign with an away game against Crystal Palace on Saturday, August 18.