The first half lacked chances, with each side having one meaningful effort. Peterborough's Tommy Rowe looped a header just over early on while Daniel Pudil watched a free kick clip the top of the crossbar for the hosts.
The second 45 saw much more goalmouth action and Watford's Argentinian frontman Fernando Forestieri was at the heart of much of the home side's attacking.
He forced Robert Olejnik into a smart save before firing a couple of shots wide as Gianfranco Zola's side pushed for an opener.
Nathaniel Chalobah then hit the post before Forestieri saw a shot cleared off the line by Shaun Brisley.
Watford were then presented with the chance to win it when Kane Ferdinand brought down Pudil and Vydra made no mistake from 12 yards.