All Roads Lead to Rome was certainly true in the metaphorical sense it was intended, but, in a physical sense, the roads the Romans built in Britain led to Londinium.

One of the most important of these roads was the one leading from Londinium to the Roman town of Viroconium, just east of Shrewsbury.   The road ran generally north-northwest until it intersected another Roman road (later called the "Fosse Way") midway between Leicester and Coventry and then ran west-northwest to Viroconium.

After the Romans withdrew from Britain, a band of Anglo-Saxons calling themselves the "wætlings" settled near the town of Verulamium just northwest of Londinium, which they renamed "Wætlingaceaster".

By the eighth century, the name "Wæclinga stræt" referred to the entire road. Not only that, the name was applied to many other roads, including extensions of the original leading from London to Canterbury and Dover, and from Wroxeter up to Chester.  In his famous agreement with the Danes who had overrun northern and Eastern England, Alfred the Great of Wessex used it as the border with the Danelaw.

As the centuries passed, Watling Street remained one of the principal roads in England.

I suppose I shouldn't be using the past tense to describe Watling Street, because it exists to this day, now known as the A5.

In London it is known as the Edgware Road for most of its length (with other names laid on locally).  It then follows Oxford Street until it gets lost at St. Giles Circus, although the original course may follow St. Giles High Street and High Holborn, I'm not sure. A small piece of Watling Street still exists near St. Paul's Cathedral. It's also unclear how this connects with the extension to Dover, the Old Kent Road.
 

Sources:
1998 Routemaster Road Atlas of Great Britain
London A-Z, 1968
www.brittanica.com among other Web sources