The Saddlers were left to rue numerous glorious chances at the Abbey Stadium as their time in this years Papa John’s Trophy came to an end thanks to a first half penalty from Cambridge United striker Sam Smith and a second half strike from substitute Shilow Tracey.
Matt Taylor made five changes to the side that lost 1-0 to Carlisle United on Saturday afternoon in League Two with Jack Rose, Ash Taylor, Liam Kinsella, Kieran Phillips and Tyrese Shade all coming into the starting XI.
It was Walsall who started the much brighter of the two sides and could have found themselves out of sight after just seven minutes of the game.
With two minutes played, Emmanuel Osadebe picked up on a loose pass in the middle of the park but his rising effort was well saved by Kai McKenzie-Lyle, with the United keeper going on to have an extremely busy evening.
Just four minutes later and this time Conor Wilkinson went close as Jack Earing slotted an inch perfect pass into the path of the striker but his left footed effort only found the side-netting.
A minute after the Wilkinson chance and the returning Phillips had the best opportunity of the three. A flick on from Wilkinson went perfectly into the path of Phillips who then found himself in a one-v-one scenario but once against McKenzie-Lyle produced a fine save with his feet.
After 17 minutes, the hosts had the perfect opportunity to take the lead and take the lead they did. A poor back pass from Otis Khan put Manny Monthe in trouble and after bringing down Smith, the striker picked himself up to score his 10th goal of the season for United from the penalty spot.
As the game approached the half an hour mark, Wilkinson had another really good opportunity to put the Saddlers level in the game as Hayden White crossed the ball into the front post but a diving header from Wilkinson went the wrong side of the far post.
However, just after the half an hour mark, Phillips was brought down in the box but the on loan Huddersfield Town man saw his low effort from the spot saved well by McKenzie-Lyle.
As the game moved into the second half, the Saddlers went in search of an equaliser but found themselves once again denied by birthday boy McKenzie-Lyle.
The game hit the midway point in the second half when McKenzie-Lyle was called into action, with two efforts coming at him within the space of a minute again.
First up, Khan had his effort direct from a free-kick saved down low to the keepers left hand side before an Earing header was met by Ash Taylor but his header was clawed back off the line.
But with 10 minutes left to play, the League One side put the game to bed following another defensive error. Taylor’s header back towards Rose didn’t have enough on it and Tracey was there to lift the ball over the keeper.
And with the game at 2-0, the Saddlers continued to push forward in hope of finding a way back into the game but the home side stood firm to make sure they were the ones advancing into the next round of the Papa John's Trophy.