John McCombe’s 23rd-minute header settled the contest on a desperately disappointing afternoon for the Saddlers, who failed to perform anywhere near their best.
In a lively opening, Walsall – 46 places above Macclesfield in the league standings – fashioned the tie’s first real opportunity on nine minutes.
Joe Edwards collected possession on halfway and drove forward purposefully, riding a few challenges into the box, but his low left-footed strike was kept out by Craig Ross.
The Saddlers continued to do most of the pressing, with Franck Moussa firing wide from 20 yards and then shooting straight at Ross.
But it was the Silkmen - 1-0 winners on their last visit to WS1 in December 2006 – who took the lead midway through the first half.
Paul Lewis pounced on Matt Preston’s weak back header and was taken out by the onrushing Neil Etheridge just outside the penalty area.
The goalkeeper escaped with only a caution, but from the resulting free-kick, Danny Whitaker delivered an inviting cross for McCombe to head into the top corner.
Buoyed by the goal, Macclesfield pressed in search of a second goal; Jack Sampson’s looping header was held by Etheridge and captain Andy Halls blazed wastefully over from 18 yards.
Etheridge was again called into action, making a fine full-stretch save to parry Danny Rowe’s curling left-footed drive.
The Silkmen were enjoyed a good spell of pressure and they went close again, David Fitzpatrick with a long-range attempt which Etheridge beated away to his left.
Walsall ended the half strongly and could have equalised on 38 minutes, but Ross produced a spectacular one-handed save to palm away Erhun Oztumer’s venomous shot.
Half-time: Walsall 0-1 Macclesfield
Macclesfield should have doubled their lead immediately after the restart, as Etheridge passed the ball straight to Sampson, who rounded the keeper but could only hit the post from a tight angle.
The visitors were in the ascendancy; Sampson’s 20-yarder was straight down the throat of Etheridge, who then made an unorthodox stop to keep out an effort from Whitaker.
With the home fans growing increasingly frustrated, Walsall had a big chance to level just before the hour mark.
Kevin Toner’s hooked effort from a corner deflected through for the unmarked Simeon Jackson who was denied superbly by Ross from close range.
John Askey’s visitors, currently tenth in the National League, responded with Lewis unleashing a blistering right-footed drive which fizzed just over the bar.
Despite losing only one of their previous ten games in all competitions, Walsall were struggling to seriously trouble a well-marshalled Macclesfield defence.
An Oztumer strike whistled over the bar and Scott Laird forced Ross into a decent save at his near post, but clear-cut chances weren’t forthcoming.
Whitaker had a good chance to seal victory for the visitors late on when he fired inches wide of the far post after good build-up play.
Walsall had one last opportunity, with Oztumer intelligently finding Jackson, who drilled just wide of Ross’ right-hand upright, but Macclesfield deservedly held on to reach the second round.
Full-time: Walsall 0-1 Macclesfield
Team: Etheridge, McCarthy, Toner, Preston, Laird, Chambers, Edwards, Ginnelly (Makris 76'), Moussa (Bakayoko 64’), Oztumer, Jackson.
Subs not used: MacGillivray, Dobson, Osbourne, Kinsella, Roberts.
Attendance: 2,334 (451 Macclesfield supporters).