Roy Hodgson’s side went in front in the 38th minute when Craig Cathcart put the ball in his own net but gave away their lead in the second period.
Cathcart started the Hornets' fightback in the 67th minute before Tom Cleverly struck the winner with a stunning volley seven minutes later.
Wan-Bissaka, who put in a decent shift in the encounter, expressed frustration with the outcome.
"We're disappointed with the result. To have been 1-0 up in the first half, we played well and lost it at the end with two goals,” Wan-Bissaka told club website.
“I don't think anything changed. I think we just kept at it, playing
"There's not really much we could do [about Cleverley's strike] but as a team, we should try to make a difference to it."
The right-back has played in all but one of the Eagles' league matches this season and will hope to maintain his fine performance when Crystal Palace visit Liverpool next Saturday.