A fluke goal from Jose Holebas set the hosts well on course for a third win from three, but Zaha pulled a goal back 12 minutes from time to give Palace a glimmer of hope late on.
However, the Hornets held out to record their best-ever start to a top-flight campaign, moving level on points with Liverpool at the top of the early Premier League table in the process.
Zaha was the pantomime villain from the very first whistle following the diving controversy which surrounded him in this fixture last season, and the Palace winger was heavily involved in the opening exchanges as an already-hostile crowd cranked up the volume.
It took just three minutes for the first piece of controversy to arise when Etienne Capoue was perhaps fortunate to only see a yellow card for a raking challenge down Zaha's Achilles, while Zaha himself also picked up a soft early booking during an ill-tempered start to the game.
It was Andros Townsend, rather than Zaha, who proved to be the architect of Palace's early chances as they made the brighter start, with the first arriving after just five minutes when his inswinging cross was stolen off the foot of Zaha by Christian Benteke's wayward diving header.
The same duo combined in the 12th minute when another inswinging cross found Benteke once again, but this time Ben Foster was equal to the effort with a smart reaction stop to deny the Belgian's miscued glancing header.
Watford needed Foster to rescue them again just four minutes later when James McArthur latched on to another Townsend cross inside the box, taking a touch before seeing his effort thwarted from close range by the spreadeagled Watford goalkeeper.
Palace would eventually be made to pay for their profligacy, and Watford finally began to grow into the game with Pereyra seeing one volley deflect narrowly over the crossbar before drawing a routine stop from Wayne Hennessey moments later.
The visitors continued to look the most likely to score as the feisty first half wore on, but their string of chances dried up and it was Watford who almost took the lead into the interval right on the stroke of half time when Andre Gray teed up Daryl Janmaat, who fired a first-time effort bobbling narrowly wide.
The Hornets will have been the happier of the two sides to go into the break still level, though, and they took full advantage of their first-half let-offs by coming flying out of the blocks for the second half.
Indeed, they should have broken the deadlock just seconds after restart when Troy Deeney's looping header was missed by Capoue but fell at the feet of Will Hughes, who saw his strike smothered by Hennessey at point-blank range.
Abdoulaye Doucoure then blasted one effort high and wide with teammates better placed in the middle before turning provider by teeing up Pereyra, who could not keep his shot down from inside the box.
It was a complete reversal of how the first half had begun, and Watford did get the goal they had threatened after 53 minutes when Capoue's powerful run saw him set up Pereyra, who cut inside past Townsend before curling a pinpoint finish into the bottom corner for his third goal of the season.
Palace slowly began to settle into the second half and came close to an equaliser when Benteke chested the ball down before curling a powerful strike inches wide of the top corner - a rare highlight in another otherwise toothless display from the striker.
It proved to be a pivotal moment of the match too, with Watford doubling their advantage in serendipitous style just two minutes later when Holebas's intended cross drifted over everyone's heads and into the far top corner.
Hodgson turned to his bench in an attempt to get back into the match, and summer signing Max Meyer had an immediate impact with an assist just two minutes after his introduction, although his return ball in a one-two with Zaha appeared to find the winger in an offside position.
Zaha continued while Watford's defenders stopped, though, and that allowed him to drill the ball through the legs of Foster from a tight angle and halve the deficit - his record-breaking 24th Premier League goal for the club.
Palace struggled to build on that lifeline until the very closing stages - with Alexander Sorloth coming closest when sending a header comfortably wide - but the visitors should have rescued a point in the sixth minute of injury time.
Joel Ward was left completely unmarked from a corner and looked certain to nod the ball past Foster from the centre of the penalty area, but instead he planted his header wide of the target when he should have scored.
The miss was the final nail in the coffin for a Palace side who see their five-match unbeaten streak away from home in the league come to an end, also falling to successive top-flight defeats for the first time since March.
Watford, meanwhile, have now won three Premier League games in a row for the first time since December 2015 and their opening three matches of a season for only the fourth time in their history, regardless of the division.
WATFORD (4-4-2): Foster; Janmaat, Cathcart, Kabasele, Holebas; Hughes, Doucoure, Capoue, Pereyra; Gray (Sema 73'), Deeney (Success 94')
CRYSTAL PALACE (4-4-2): Hennessey; Ward, Kelly, Sakho, Van Aanholt; Townsend, Milivojevic, McArthur, Schlupp (Meyer 75'); Zaha, Benteke (Sorloth 85')