The Premier League side announced the signing on their website (www.watfordfc.com) on Monday but gave no financial details of the deal.
Okaka, 27, helped Anderlecht finish third in the league last season, scoring 17 goals, but has clashed with new coach Rene Weiler, according to Belgian media.
The Italian has played in the Premier League before, spending part of the 2010 season at Fulham on loan from AS Roma.
Watford have lost two and drawn one of their opening three league games this season and are 18th of the 20 teams.
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(Reporting by Clare Fallon; Editing by Tony Jimenez)
