The Saddlers were knocked out of the Checkatrade Trophy in the second round after losing at home to League One rivals Bury.
Nicky Ajose’s expertly-taken seventh-minute volley put the Shakers ahead before Erhun Oztumer equalised with his tenth goal of the season in first-half injury time.
But Ajose’s close-range header on 65 minutes secured victory for the visitors and booked their place in last 16.
Chris Lucketti’s Shakers drew first blood on seven minutes, Nicky Ajose arrowing a sweetly-struck 20-yard volley beyond the outstretched fingertips of Liam Roberts and into the bottom corner.
The Saddlers could have levelled just five minutes later when Erhun Oztumer’s cross dropped for Maz Kouhyar in the box but his right-footed shot struck his own man in Kieron Morris.
Bury should have doubled their lead on 29 minutes when Ajose found himself clean through but Liam Roberts produced a super save with his leg to block the striker’s close-range side-footed effort.
The home side ended the half the stronger, with Morris hitting a low drive from a narrow angle which Leo Fasan stopped with his legs.
And the Saddlers equalised in first-half injury time as Kouhyar found Tyler Roberts, who slid a lovely first-time pass through for Oztumer to calmly stroke a left-footed effort past Fasan.
The visitors had a good chance to go ahead on 54 minutes when Nathan Cameron met Jay O’Shea’s corner with a towering header which looped just wide.
Bury then went back in front 11 minutes later as Callum Reilly charged forward and spread the ball wide to Andrew Tutte, who delivered a fine far-post cross for Ajose to head home.
It could have been 3-1 moments later as Michael Smith’s powerful drive was parried by Liam Roberts and bundled in by Ajose – but the goal was disallowed for offside.
Either side of that incident, Jon Whitney brought on strikers Amadou Bakayoko and Dan Agyei for Kouhyar and Reece Flanagan in a bid to get his team back in the tie.
But despite applying some pressure on the Bury goal in the closing stages, Walsall were unable to fashion any real chances as the Shakers comfortably held on to reach the last 16.
Team: L Roberts, Kinsella, K Roberts, Guthrie, Leahy, Morris, Chambers, Flanagan (Agyei 72’), Kouhyar (Bakayoko 69’), Oztumer, T Roberts.
Subs not used: Gillespie, Donnellan, Devlin, Shorrock, Jackson.