The Iceland international was introduced at the start of the second half of Saturday's Championship clash at Vicarage Road, with his side trailing 2-0.
After almost scoring with his first touch, Helguson played a part in Watford's first goal before scoring twice himself to put them 3-2 up. But the home side's hopes of a third straight win were dashed in stoppage time when Dany N'Guessan headed home to make it 3-3.
Mackay said: "In the first minute of the second half he [Helguson] showed his intent when he had the sliding chance and from then on he showed his maturity, he showed the fact he was a man coming into the game, he worked hard and his combinations with Danny Graham I thought were excellent."
As for the game the Hornets boss said: "Certainly at 2-0 down at half-time, if you'd have said 'would you take a point?' I would have said 'yes'.
"In the first half we had plenty of possession but didn't turn that into goalscoring chances. We were countered a couple of times and I was disappointed with that because the boys, so far, have prided themselves on being a team who are very alert and alive to the way the other team plays tactically.
"I was disappointed at half time but to go out in the second half and play like that and have the courage and determination to dominate the way we did, I've got to be incredibly proud of the players."
Leicester boss Nigel Pearson said: "It's disappointing. It's two points dropped and the fashion which we conceded the goals was very disappointing.
"I thought we played some great football [in the first half] and I thought the second goal was fabulous - a great move and a great finish. So I suppose that makes it even more disappointing because we're waiting for our first away win and, unfortunately today, we threw it away. But that's football. It's frustrating, but I've got every confidence in the players that we'll put it right and move forward."
It was in-form Matty Fryatt who did the damage in the first half.
First, the striker tucked away a penalty after John Eustace had been adjudged to have handled a Robbie Neilson cross, and then Fryatt ran onto a Paul Gallagher through ball and turned Craig Cathcart before sliding the ball beyond keeper Scott Loach.
But Watford were transformed after the break and pulled one back when Helguson caused sufficient havoc in the box to force Jack Hobbs to head a Lee Hodson ball into the path of Danny Graham. The former Carlisle United frontman then turned his man and did well to prod the ball past keeper Chris Weale with the outside of his right foot to score his fifth of the campaign.
That goal came in the 58th minutes and within two minutes Watford were level.
Hodson was again the supplier, this time with a cross from the right that was deflected across the six-yard box to present Helguson with a gift to celebrate his 200th appearance for the club.
The sense that the script was written was completed in the 77th minute when Hodson again picked out Helguson and the former Fulham and Bolton striker pulled off his man to beat Weale at his near post.
The game had been turned on its head but the visitors got back on terms when N'Guessan was left free in the area to head home a cross from the left.