Odion Ighalo gave the visitors the lead in the 50th minute at Emirates Stadium with a neat finish, before Adlene Guedioura smashed home to make it 2-0 in the 63rd minute.
Arsenal failed to click into gear but pulled a goal back when Danny Welbeck smashed his shot home from Mesut Ozil’s backheel to set up a tense finale.
However, the north London side were unable to conjure an equaliser as they were knocked out of the competition they have won for the last two years.
Speaking on BT Sport after the final whistle, former Arsenal striker Wright said: “Watford have to take a lot of credit for the way they stuck to their game-plan.”
He continued: “I think [criticism of Arsene Wenger] would be very harsh. He put the strongest team he could put out today. If you’re going to point the finger at anyone, it would be the players and their application in the first half. They could have started the game better.
“I thought they should have won it with the team they had, but credit to Watford.”
Arsenal must now dust themselves down as they prepare to travel to Barcelona for the return leg of their Champions League last 16 clash on Wednesday night.
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