Gilmartin, 30, has signed an undisclosed-length deal after leaving the Hornets, where he failed to play a first-team game in three years.
His most recent senior match in England came for Plymouth in January 2013.
Keeper Brill, 31, joined Colchester in January on a short-term deal and rejected the offer of a new contract.
The former Luton, Barnet and Oldham player found himself as number two to Sam Walker, who played every league game last season.
Gilmartin will coach keepers Walker and Dillon Barnes, with Ademola Bankole leaving the role after more than nine years at the club.
Find all the latest football transfers on our dedicated page.
Colchester have signed goalkeeper Rene Gilmartin as a player-coach after his release by Watford, and confirmed Dean Brill will not be returning.