Whisk together the orange juice, lemon juice, shallots, honey, salt, and pepper. Slowly pour in the olive oil, whisking constantly, to form an emulsion. If not using within an hour, store the vinaigrette covered in the refrigerator.
Place the arugula, watermelon, feta, and mint in a large bowl. Drizzle with enough vinaigrette to coat the greens lightly and toss well. Taste for seasonings and serve immediately.