Second-half goals from Kevan Hurst and George Bowerman condemned Wanderers to a 2-0 defeat at the Banks's Stadium.
Gary Waddock's men were the better side in the first half, and Stuart Beavon had the first real chance after 10 minutes when he latched on to Gareth Ainsworth's neat lay-off and fired narrowly wide of David Grof's left post from the edge of the area.
The Blues looked the more threatening early on and Ainsworth saw an effort deflected wide, before Dave Winfield headed the resulting corner at Grof.
Jamie Paterson was posing the biggest threat to Wanderers' defence and he had the home side's first shot at goal, but it flew just wide.
Ainsworth saw another long-range effort go wide of the target, before Paterson was denied by a fine save from Nikki Bull, who dived full length to his right to divert the ball out for a corner.
Winfield, who had an outstanding first half, was in the thick of the action again on the half hour, when he bravely slid in to block Paterson's powerful effort.
On-loan Watford striker Matty Whichelow had the best effort of the first half, but his effort curled wide of the right post after Beavon caused havoc in the Walsall area.
Walsall has the chance to take the lead three minutes after the restart when Winfield brought down Florent Cuvelier in the area, but Nikki Bull came to the rescue and kept out Alex Nicholls' resulting penalty.
Ben Strevens then saw a low effort comfortably saved by Grof, but it was Walsall who took the lead in the 62nd minute when Kevan Hurst was allowed to bring the ball forward and fire an unstoppable effort past Bull from 25 yards.
Cuvelier and Paterson both had decent chances as the hosts turned the screw, but Wanderers had an opportunity of their own when substitute Matt McClure dragged an effort agonizingly wide following good play from fellow replacements Anthony McNamee and Joel Grant.
The killer blow came five minutes from time when substitute Jon Macken turned neatly on the edge of the area and slipped in George Bowerman, who fired under Bull.
Wanderers: Bull, Foster, Basey, Winfield, Laing, Ainsworth, Harper, Lewis, Strevens, Whichelow, Beavon.
Subs: Johnson, Grant, McNamee, McClure.
Bookings: Winfield, Harper, Laing
Walsall: Grof, Sadler, Butler, Lancashire, Chambers, Grigg, Hurst, Taundry, Paterson, Nicholls, Cuvelier.
Subs: Walker, Beevers, Bowerman, Peterlin, Macken.