Goals from Etienne Capoue, Juan Zuniga and a stoppage time penalty from Troy Deeney overwhelmed the visitors, who had levelled with a solitary strike from Marcus Rashford, in Sunday's big match.
It was the first time Watford had beaten United since 1986.
The Premier League said it was also the first time Mourinho had lost three consecutive games as a manager since 2006.
Although the 'Special One' did suffer three successive defeats at Chelsea in 2015, before he was sacked by the Londoners, one of those was on penalties after a draw in the Capital One (League) Cup.
Mourinho said improvements need to be made.
"It was an obvious situation but it is something I cannot control. I cannot improve the referees or officials and luck will arrive when she wants to. But, yes, individual performances have to improve," the Portuguese told reporters.
United lost the derby to Manchester City last weekend and were then beaten by Feyenoord in their midweek Europa League clash.
Tottenham Hotspur striker Harry Kane pounced on a comical piece of defending to break Sunderland's resistance and secure a deserved 1-0 win that lifted the London side to third in the EPL standings.
The one sour note for unbeaten Spurs was a late ankle injury for Kane, who was wheeled off on a stretcher having scored the winner in the 59th minute after Papy Djilobodji completely missed the ball as he tried to clear.
Crystal Palace beat struggling Stoke City 4-1 and Southampton beat Swansea 1-0.
Manchester City top the table with 15 points, Everton have 13, Tottenham 11 and Arsenal, Chelsea and Liverpool 10, Manchester United have 9.