On 19 March 2015 Connolly joined another Championship side, Watford, on loan until the end of the 2014–15 season, despite having played 26 times for Cardiff that season. Manager Russell Slade stated the deal was a business rather than a footballing decision, with Connolly expressing his surprise at the move. Whilst at Watford, Connolly achieved the feat of being promoted to the Premier League for the fourth time with four clubs (QPR, Reading, Cardiff and Watford). At Watford Connolly scored once; in a 3–1 win at Nottingham Forest.