Vakoun Bayo scored the only goal of the game nine minutes into the second half for the Hornets, tucking away the rebound after seeing an initial effort saved by Jamie Cumming.
The U’s created chances of their own though under the Friday night lights at Vicarage Road, with Buckingham alluding to opportunities squandered by Mark Harris, Elliott Moore and Hidde ter Avest.
United head coach Buckingham said: “I’m proud and frustrated. I’m proud of how we applied ourselves in that game against a very good Watford side who have been very good at home and showed how dangerous they can be.
“But I’m extremely proud of the performance. I’m frustrated that we haven’t come away from this game with something because I feel we deserved it.
“Mark Harris had two big chances, Elliott Moore’s had one, Hidde’s had one.
“I think there was a penalty opportunity on Tyler [Goodrham] as he starts outside the box and it finishes inside, that on another day may be given.
“I’m proud but frustrated that we haven’t come away from here with something.”
He added: “Jamie’s [Cumming] been good, but the reality is we turned the ball over in a really good area for us, where we should be the ones creating a goalscoring moment, and we turned it over when we’ve committed players forward in transition, and then they do to us what we should’ve done to them.
“From that moment they go one up, we have to go chasing the game, and that’s when the game opens up.
“It shows this level is ruthless. We go from a really good attacking move, where we play central and should turn the ball out to the side in to either Tyler or Greg Leigh.
“If we do that, we’ve got an overload on the opposite side at the back post, where if it’s not our opposite 10 in Ruben [Rodrigues], then it’s PK [Peter Kioso] and a really good goalscoring moment similar to what we got the other day.
“But we turned it over and it just leaves us exposed in those moments where we shouldn’t be losing the ball.”