The 25-year-old will stay with the Hornets for one month, with an option for a permanent deal if he can impress boss Aidy Boothroyd.
Davenport will provide cover for defender Danny Shittu - who is currently competing in the African Cup of Nations with Nigeria.
The former Tottenham player admitted he is 'itching' to play again after completing just one reserve game for West Ham.
"I've only played one reserve game so I'm just itching to get back out there and tomorrow is a great game for me to be involved in hopefully", he told Watford's official website.