Deadline reports that the cancellation was a surprise, however, because writers were already working on storylines and scripts for a second season.
"Gypsy" was the first starring TV role for Watts, who's currently costarring on "Twin Peaks: The Return."
Watts has a supporting part as Brie Larson's unorthodox mother in "The Glass Castle," which opens today. It has also received so-so reviews, but could potentially lead to another Oscar nom for Watts, who was previously nominated for "The Impossible" and "21 Grams."
Better luck with the next one, Naomi!