Andre Gray, Nathaniel Chalobah and Domingos Quina were not part of Nigel Pearson’s 20-man squad.
The action by the club came after Gray posted a series of videos on social media of a large gathering to celebrate his 29th birthday on Friday.
Quina, 20, was seen in the videos as a group played football on an artificial pitch in Gray’s garden.
Gatherings in gardens and outdoor spaces with people from different households are currently restricted to six people due to rules aimed at stopping the spread of coronavirus in England.
“Watford Football Club is aware of social media posts which suggest two players contravened Government lockdown protocols,” Watford said in a statement on Saturday.
“The club will investigate fully and speak to the players concerned.”
The Hornets are in desperate need of the three points at Vicarage Road as they sit just one point outside the relegation zone.
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