The 33-year-old's contract was due to expire at the end of the season, but Watford agreed to let him depart as a free agent following his 11-year service at Vicarage Road.
He has now joined his hometown team and boyhood club Birmingham after agreeing a contract until summer 2023.
Deeney wrote: "It's weird being asked to express my feelings on my life at Watford Football Club and the emotions I feel about leaving a club so important to me.
"I feel sadness and loss, almost like a close family member has just died. I feel excitement about my new journey and the rest of my life.
"Most of all I feel tremendous pride for what I've achieved and the friendships and connections I've made. Watford literally has changed my life.
"The Watford family redeemed me and helped get me back on track when I was at my lowest ebb.
"Watford is a small part of planet earth but for some of the most turbulent years of my life it was the centre of my universe and I couldn't have wished for better supporters holding me up and I have been truly honoured to be the captain of that club and the fans' representative on the pitch.
"While there is always some frustration when a great journey comes to an end, that will quickly pass and what will remain are great memories that will become the pillars of my life from now on.
"Last but certainly not least to the fans - you have been amazing and I can't say anything less than I love you guys from bottom of my heart.
"You've taken me into your hearts and I can never repay you. This is now my club forever and I hope you know I left everything on the pitch."
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