The Italian striker has signed a five-year deal with the Hornets, but no financial details of the transfer have been given.
Okaka, 27, scored 17 goals for Anderlecht last season at his former side finished third in the Belgian top flight.
The former Anderlecht man also has four caps for Italy and has scored one international goal.
"It's very exciting," the striker said on Watford's official website.
"I'm very happy to work with the Pozzo family and Walter Mazzarri, and I'm happy to be back in the Premier League, it's nice.
"I know Watford is a family club, this is the first feeling I had when I arrived at the training ground. Everything is simple, I like that".