Watford had taken the lead with an excellent volley early in the second half from Andre Gray, before James Tarkowski equalised just minutes later.
Burnley had had the best of the rest of the first half, but Watford came out for the second with purpose.
They immediately went on the attack, and Deeney found himself at the edge of the box, where he had a shot on goal that was blocked by a defender.
The ball came to the feet of Abdoulaye Doucouré, who played in a wonderful ball for Deeney to run on to.
The 'Hornets' captain controlled the ball well, and cooly slid it under Joe Hart to give his side the lead.