Rovers were quickest out of the traps and it took two separate pieces of good work from Marco Faraoni, who twice headed away to keep Blackburn from getting in behind the Watford defence.
Striker Rhodes almost put Blackburn ahead minutes later when he made the most of a poor first touch to get a shot away on goal, but it crept just wide of the post.
After the interval Watford moved the ball effectively and nearly went ahead, but McGugan's shot was deflected, making it easier for Blackburn keeper Jake Kean to hold.
However, it was the home side who were to take the lead as Rhodes was left unmarked to power in a header as the ball was flicked on from a throw.
The visitors nearly hit back several minutes later when Ikechi Anya hit a sweet strike which flew just inches wide.
Watford continued to push in order to prevent their second loss of the Championship season, but were unable to overcome a resolute Blackburn defence as the game ended 1-0 to the hosts.