The Hornets wrapped up the points early on thanks to Almen Abdi's third-minute penalty and fellow Udinese loanee Matej Vydra's second goal of the season on 17 minutes.
Zola said: "I was really pleased with the performance. We scored two goals, created plenty of opportunities and played plenty of good football.
"It is a pity we couldn't keep the same rhythm in the second half and we conceded too much space to Birmingham but that is understandable because Birmingham are a very good team.
"It is something for us to build towards in the future because once our physical condition is better then we will be able to perform like that for longer than 45 minutes."
Watford kept possession excellently in the first half and created a number of good chances.
After the break Birmingham enjoyed more of the ball but still failed to trouble Manuel Almunia.
Vydra again played a starring role and impressed his manager both going forwards and defensively.
Zola added: "Vydra is a good player but he has to learn to be more of a team player and today he took a big step forward because football is not all about scoring goals - it is about helping the team defend.
"The way we play football it is fundamental that everybody has to defend. Today we did that across the park and our striker Chris Iwelumo was excellent [on that front] because he helped the team a lot."
Blues boss Lee Clark was disappointed with his side's performance but was quick to praise Watford.
He said: "If you go 2-0 down then it is very tough to come back and we found that on Tuesday night [3-2 defeat at Sheffield Wednesday] when we were in the same position.
"Watford were excellent and I wouldn't take anything away from their performance but we have given them two very poor goals.
"In general, it was a very poor performance in the first half. We were not good enough in the first half but it is a tough one because I know there is so much more in that dressing room.
"We all have to respond and bounce back and start working out a way to win football matches."
However, while Birmingham have yet to win a league game under Clark, he did not shout at the players after the match.
"I told them at half-time and after the game that I have the utmost respect for them and they are great lads and great players but they are not performing, for some reason," Clark said.
"Sometimes you can get your point across to the players without shouting at them and I have not ranted at them today, that's for sure."
