Watford's 3-1 victory exposed the brittleness of Mourinho's expensively assembled team as it tasted success over the record 20-time English champions for the first time in 30 years.
The United job was a chance for Mourinho to rehabilitate his career after being fired last year for a second time by Chelsea. But after a bright start to the campaign in August, Mourinho's United has lost to Manchester City, the Europa League opener at Feyenoord and now Watford within nine days.
"If you analyze our three defeats in the last week we were always the best team in the second half," Mourinho said. "We lost again in our best moment."
Although 18-year-old Marcus Rashford marked his first start of the season for Mourinho by canceling out Etienne Capoue's opener, Watford surged back in front in the 83rd minute at Vicarage Road. Substitute Camilo Zuniga scored within a minute of coming off the bench and Troy Deeney netted a penalty in the fifth minute of stoppage time.
It's only five games into the Premier League season but United is already six points behind leader Manchester City. While United's neighbor has made a perfect start, Mourinho is discovering just how challenging it will be to restore the team to the Champions League by finishing in the top four.
"I feel that some individuals probably feel the pressure and responsibility too much," said Mourinho, who succeeded Louis van Gaal in May to become United's third manager in the three years since Alex Ferguson's retirement. "But from a collective point of view, I only have good things to say about them."
United's abject state was clear early in the game. Only Odion Ighalo's miss spared United from an early setback. David de Gea dropped a high catch as both the United goalkeeper and defender Chris Smalling went for the ball. Ighalo was presented with an open goal but rather than control the ball, he missed the target with De Gea watching in astonishment.
The closest United came to the Watford goal before conceding was Zlatan Ibrahimovic hitting the sidenetting and Paul Pogba, the world's most expensive player, hitting the crossbar with a dipping shot. Captain Wayne Rooney, in a deeper midfield role, made little impact.
A key intervention by Miguel Britos created Watford's goal. The Uruguay defender's challenge on Martial on the right flank, tripping the winger, was deemed permissible by referee Michael Oliver.
Daryl Janmaat seized possession and cut the ball back to Capoue on the edge of the penalty area. Having scored just once in his previous 57 games, Capoue sidefooted in his fourth in five games to start the league campaign.
But as the goal was scored in the 34th minute, Martial remained on the turf, awaiting treatment. The Frenchman couldn't continue, hobbling off with Ashley Young taking his place.
Seven minutes earlier, Martial clashed heads with Janmaat as they went for a loose ball. Both players received treatment but they continued.
The English Football Association states in its concussion guidelines that: "Anyone exhibiting symptoms must immediately be removed from playing ... there must be no return to play on the day of any suspected concussion."
Asked whether Martial was concussed, Mourinho responded: "I don't know. I really don't know."
United's first shot on target only came in the 62nd minute and with it Rashford justified Mourinho's decision to entrust the academy graduate with a starting place.
Rashford's header from Ibrahimovic's cross came off Valon Behrami's shoulder and the England forward got a second attempt to beat Heurelho Gomes and strike under the goalkeeper. It was Rashford's 10th goal for United since making his debut in February, a team high.
"Marcus was playing with freedom and we were in control," Mourinho said. "The game was there to win and never to lose."
But that's what happened, after Ibrahimovic's header was kept out of the net by Gomes.
Nordin Amrabat cut past United defender Luke Shaw and released Roberto Pereyra, who fed Zuniga with a cutback, allowing Capoue's replacement to restore Watford's lead.
And after Zuniga was fouled by Marouane Fellaini in the penalty area, Deeney completed United's misery from the penalty spot. Watford is two points behind United in eighth place in the early standings.