Arrange arugula over large platter. Scatter watermelon, then feta over. Drizzle with balsamic glaze and sprinkle with pepper.
Balsamic vinegar glaze can be found in the vinegar section at many supermarkets. If unavailable, boil 3/4 cup balsamic vinegar in a small saucepan until reduced to 3 tablespoons, 6 to 7 minutes.