The 22-year-old was handed the captain's armband for the EFL Cup third-round clash with the Hornets, which ended 2-2 before Spurs progressed via a penalty shoot-out.
The match was played at Milton Keynes Dons' Stadium MK as Spurs' new ground is still not ready and their temporary home at Wembley was otherwise occupied.
It was a return home for Alli, who was born in the town and made 88 appearances for his hometown team before moving to north London in 2015.
Fittingly, the England midfielder netted the winning spot-kick and it completed a superb night for him.
"It was good, it (the armband) was a little bit too big for me but it was a massive honour for me," he told Sky Sports News. "I spoke to the gaffer yesterday and he asked me if I wanted to be [captain] and it was a real privilege.
"I think it's important when we're out on the pitch that we know we need to have 11 leaders out there, but it was a huge honour."
It remains to be seen if Alli becomes a regular captain of the club in the future but he is keen to assume a more vocal role - regardless of his status in the team.
"If you asked the boys about my speech before they might disagree, but I think I want to be a leader out there anyway and whether I've got the armband or not, it's important that that is my mentality," he added.