The Red Devils had not lost to Watford in 30 years but were deservedly beaten 3-1 at Vicarage Road, adding to derby defeat at home to Manchester City last weekend and Thursday night's Europa League loss away to Feyenoord.
Etienne Capoue's fourth goal of the season opened the scoring for the hosts
Marcus Rashford equalised in the 62nd minute with United's first shot on target but Watford responded as substitute Camilo Zuniga fired them back in front having just come off the bench.
He was then brought down in the box in injury time by Marouane Fellaini, allowing skipper Troy Deeney to slam home the penalty and make sure of the three points.
United were not at the races for much of the afternoon as Mourinho, who has now tasted defeat in three successive games for the first time in over a decade and for the first time in a single season in England, opted to play a 4-3-3 formation with captain Wayne Rooney again uninspiring in a deeper midfield role.
Paul Pogba is still yet to justify his world-record fee, although he did see a 25-yard effort crash against the crossbar in the first half and Mourinho, who questioned Shaw's positioning for Zuniga's goal, admits his side still need to improve after their good start to the season came shuddering to a halt.
"I feel that some individuals probably feel the pressure and responsibility too much," he said.
"But from a collective point of view, I only have good things to say about them
At 1-1 everyone thinks we are going to win the game
We were showing complete control, intensity, creation.
"But their second goal is a mistake that goes against our plan and our training, because our intention was for their wing-backs to be pressed and not let them progress.
"And what happened was the guy gets the ball 20-25 metres away from our box and instead of being pressed, we give him the space to progress
(Nordin) Amrabat receives the ball and our left-back (Shaw) is 25 metres from him instead of five.
"But even at 25 you have to jump and go and press, but no, we wait
This is a tactical but also a mental attitude
It's something that doesn't become perfect in a couple of weeks
So we have to improve, no doubt, individually and collectively
And that's my job.
"We started the season very well with (winning) the Community Shield and three victories in a row in the Premier League, the best start that a new manager has had at Manchester United I think
But was I thinking that my team was ready, perfect, unbeatable? Not at all.
"I was completely aware that we were not perfect, with lots of players who are not end products and can make their own mistakes."
The first Watford goal came as Anthony Martial was caught in possession on the edge of his own box, just moments after needing treatment following a clash of heads.
Mourinho could not confirm whether the France international had suffered a concussion despite being replaced by Ashley Young, disappearing down the tunnel with a limp which appeared to come from the challenge from Miguel Britos which led to the goal.
But referee Michael Oliver was also blasted by Mourinho for not giving a free-kick for the challenge on Martial in the build-up to Capoue's goal.
Asked if he felt the tackle of Martial was a foul, the Portuguese replied: "When you come with that question it's because you know
You don't ask me about that if you think that nothing happened
The reason you asked the question is my answer.
"The referee's crucial mistakes are not in my control, there is nothing I can do about that.
"That is not under my control
But against Man City you know what happened in minute 55 (when Mourinho felt United should have had a penalty for a challenge by Manchester City goalkeeper Claudio Bravo on Rooney), today you know that happened for the first goal, against Feyenoord there was the offside goal
So we were punished by these mistakes and I can't do anything about it."
Having guided his side to their first Premier League win of the season at West Ham last weekend, this was Walter Mazzarri's first home victory as Watford boss after losing to Chelsea and Arsenal.
And he dedicated the result to the club's fans, many of whom would be unable to recall their last victory over United back in 1986.
"We played very well, even against Arsenal and Chelsea here at home, but we were more unlucky than today," he said.
"I'm very happy for the fans, they told me it was 30 years since Watford beat United, so this win gives us a lot of satisfaction."
Source : PA
Source: PA