The Scottish winger has signed a four-year deal with the Championship club after spending the past three years at Vicarage Road.
Rams boss Nigel Pearson told the club's official website: “We're delighted to get Ikechi Anya here.
“I have met with him this evening and he is certainly a very enthusiastic individual.
“He gives us more balance to the squad and we have someone that is versatile in wide areas. He can play out wide, at full-back or as a wing-back.
“I'm really pleased with the potential that he brings to us."
OFFICIAL: Wing-back @IkechiAnya has completed a permanent transfer from #watfordfc to @dcfcofficial tonight. pic.twitter.com/y7yGEfAtX9
— Watford FC (@WatfordFC) August 31, 2016