Javi Gracia's side came from two goals down at Wembley on 8 April (AEDT) to book a final against Manchester City but slipped to a defeat on Sunday (AEST) that leaves it four points behind Nuno Espirito Santo's seventh-placed side.
Raul Jimenez continued his impressive season, heading home shortly before the interval to put the visitors ahead, but a mistake from Ryan Bennett gave Andre Gray the opportunity to equalise shortly after the restart.
The game looked to be petering out for an uninspiring draw but Jota, who scored in a superb 3-1 win over Arsenal in midweek, secured all three points 13 minutes from time.
Both sides looked sluggish in the early stages and it was not until the 33rd minute that the first chance was carved out. Jimenez thought he had put Wolves ahead but Etienne Capoue superbly hooked his bundled effort off the line.
Will Hughes then squandered a glorious opportunity to score, inexplicably heading over from just five yards out.
His misery was compounded four minutes before the interval when Jimenez met Jota's cross just six yards out to head home his 13th Premier League goal of the campaign.
Watford pulled level four minutes after the restart and was given a helping hand by Bennett. The Wolves defender's careless pass across the backline was intercepted by Deulofeu and despite Rui Patricio getting down quickly to deny the Spaniard, Gray was on hand to lash home the loose ball from 15 yards.
Jota was to have the final word, however, taking advantage of Ben Foster's rash decision to come for Ruben Neves's cross and steer home to secure a second consecutive Premier League win for Santo's side.