Watkins, who lives in Wokingham, and Grainger crossed the finish line in six minutes 44.33 seconds to beat the record set by Germany in 1992 by nearly five seconds.
The pair were in front from start to finish and look in imperious form going into their final at 12.10pm on Friday.
Grainger said: "I'm really pleased with our first event. You can hear the crowd but you feel it in your body, pulsing through you.
"We're very lucky to have this incredible support from around the country. It lifts you like nothing else.
"The plan for the next four days is feet up... not! We've got an adrenaline high now and we're both aware we can enjoy it for the next few hours, but we need to bring it back down. We'll head back to training and a dull lifestyle to get everything in place for Friday."
FOR A FULL PREVIEW TO THE RACE SEE THURSDAY'S NEWS