The striker is now in his 12th season with the Foxes as they eye an instant return to the top flight following relegation last season.
Vardy played a huge role in their Premier League title win in 2016 but is now back playing in the Championship.
Leicester hosted Watford on Saturday afternoon and the 36-year-old had a golden opportunity to put his side in front.
With around 17 minutes left to play, a cross from Stephy Mavididi fell into Vardy's path but he sent his volley over the bar from close-range.
He collapsed to his knees with his head in his hands and then once he got back up, he punched himself in the face in fury.
READ MORE ON JAMIE VARDY
Maddison has gone but Leicester flying under Maresca - and even Vardy's improving
Jamie Vardy still football's biggest wind-up merchant despite relegation with Leicester
However, Vardy was able to find the back of the net just minutes later from a similar position to put Leicester in front.
The former England striker then sealed a 2-0 win in stoppage-time from the spot after he was fouled by Daniel Bachmann, who was sent off for a second yellow card.
Such efforts have now taken Vardy to seven goals for the season in all competitions, with six of those coming in the Championship.
Leicester remain top of the table and have now won 14 of their 17 matches in the second tier of English football.
Most read in Football
Chelsea, Tottenham and England legend Terry Venables dies aged 80
Tony Adams suggests Arsenal could have won title last season with Unai Emery
Erik ten Hag's absence explained: Why Man United manager won't be on touchline vs Everton
Arsenal fans love what Arteta did with Kai Havertz after winner in heartwarming moment
They sit three points clear of Ipswich Town in second and ten points ahead of Leeds United, who were also relegated last season, in third.
Enzo Maresca's side are therefore firmly on course to seal promotion back to the Premier League after just a one-season absence.
With 177 goals in 445 appearances to his name, Vardy could certainly be the man to help seal such a prospect in the remaining months.