Watford/Watford Junction is about 10 miles north of Wembley.
Most trains take half an hour to Wembley Park; fare £5.50 single – less with an Oyster card. It’s London Overground now – the Underground terminates at Harrow and Wealdstone.
You can get a return train ticket from Cambridge to Wembley Central via central London for £26.20 – less with a Travelcard. Journey time 2 hours.
And you can even get a train home! See National Rail Journey Planner for times.