The Saddlers were forced to settle for a point after Tom Soares’ last-minute equaliser rescued relegation-threatened Bury a thrilling draw.
First-half goals from James Vaughan – his seventh in three games – and Reece Brown gave the Shakers a commanding half-time advantage.
But the visitors rallied after the break, with an Erhun Oztumer free-kick and a Jason McCarthy double putting us 3-2 ahead.
Jon Whitney’s side appeared on course for a third successive win, only for Soares to strike right at the death.
The result moves the Saddlers up a place to 12th in League One.
Bury started brightly and could have taken the lead as early as the second minute.
A Soares corner dropped kindly for Tom Pope at the far post but his effort was somehow kept out by Saddlers stopper Neil Etheridge from point-blank range.
The visitors responded immediately, with Oztumer’s left-footed shot deflecting into the path of Isaiah Osbourne but, stretching, the midfielder could only poke wide.
The Shakers made the breakthrough midway through the half, Pope crossing for Vaughan to calmly side-foot home a volley from close range.
It would have been 2-0 to the hosts on the half-hour mark but for an excellent double save from Etheridge.
The Philippines international first parried Pope’s flicked effort from Brown’s sweeping cross, before reacting quickly to block the striker’s second attempt at his near post.
Walsall had a chance to equalise five minutes before the break, when Amadou Bakayoko latched onto Erhun Oztumer’s clever back-heel but his low angled drive was parried by Rob Lainton.
That miss proved costly as Bury doubled their lead in fortuitous circumstances right at the end of the half.
Brown’s 35-yard free-kick - which was surely intended as a cross – sailed over Etheridge’s head and bounced in off the underside of the bar.
Half-time: Bury 2-0 Walsall
After a quiet start to the second half, the Saddlers had a huge double chance to halve the deficit on the hour mark.
Matt Preston’s close-range effort from Oztumer’s corner was cleared off the line by Vaughan, before Osbourne’s powerful follow-up was bravely smothered by Lainton.
The Shakers could have put the result beyond doubt five minutes later, but Etheridge produced a fine one-handed stop to turn away Hallam Hope’s dipping 20-yard half-volley.
Walsall gave themselves a lifeline with 19 minutes remaining, Oztumer curling a left-footed free-kick through the wall and into the bottom corner from 20 yards.
And, just five minutes later, the Saddlers were back on level terms.
Bakayoko’s driven cross flashed across goal and came to McCarthy, who took a touch before drilling left-footed past Lainton at his near post.
Quite astonishingly, Walsall completed a stirring comeback moments later, McCarthy nodding home Osbourne’s fizzing right-wing cross to send the visiting fans into raptures.
But there was to be one final twist in the first minute of added time, Brown delivering a teasing centre for Soares to fire home and rescue the Shakers a dramatic point.
Full-time: Bury 3-3 Walsall
Team: Etheridge, Preston, O’Connor, O’Connell, McCarthy, Chambers, Osbourne, Cuvelier (Jackson 71’), Edwards, Oztumer (Dobson 88’), Bakayoko (Makris 90).
Subs not used: MacGillivray, Laird, Morris, K Roberts.
Attendance: 3,280 (448 Walsall supporters).