The Italian took his tally to six goals in four games in all competitions since joining Saints from Napoli in the January transfer window following a seven-goal thriller at Vicarage Road.
A week ago, his brace almost helped Saints produce a major upset against Manchester United in the League Cup final before Zlatan Ibrahimovic gave the Red Devils a late 3-2 victory.
Nathan Redmond added two for Saints and Dusan Tadic also scored while Troy Deeney, Stefano Okaka and Abdoulaye Doucoure netted for Watford as both sides remained in mid-table.
An already thrilling game exploded into life with four goals in the final 10 minutes -- including Gabbiadini's historic strike.
Southampton appeared to be suffering from a League Cup hangover as they conceded after just four minutes.
Deeney played a one-two with Italian Okaka before volleying past goalkeeper Fraser Forster from close range.
It was Deeney's 105th goal for Watford, taking him up to joint fourth in the club's all-time scorers list.
Saints were dominating possession and duly equalised just before the half-hour mark as Tadic drilled home from 18 yards following a poor clearance from the home team.
Gabbiadini was twice thwarted by Watford goalkeeper Heurelho Gomes but Southampton still went into the break leading after Redmond started and finished a flowing move in time added on at the end of the first half.
With a quarter of an hour to go, Okaka wasted a great chance to equalise after being teed up by Tom Cleverley, who had robbed a dallying Oriol Romeu.
Okaka, though, made amends five minutes later, prodding home from six yards after Nigerian Isaac Success put the ball on a plate for him.
Yet just four minutes later Gabbiadini punished Watford after Okaka had missed the chance to give the hosts the lead. Gomes was at fault as he spilled a shot from Sofiane Boufal into Gabbiadini's path.
Two minute slater, Redmond sealed the win as he punished a tired defence with an individual goal.
Yet, there was still time for a final goal deep into injury time as Doucoure tapped home M'Baye Niang's cross from close range.