Southern Premier Division Merthyr's Cup dreams were ended in a battling first round defeat at Penydarren Park.
Walsall were gifted the lead after 16 minutes when a clumsy challenge from Dale Griffiths on Matt Fryatt led to a penalty, converted by Fryatt.
The Saddlers doubled their lead eight minutes later when Mark Kinsella drove home from 25 yards.
Steve Williams hammered a 28th-minute free kick from the edge of the box to keep the result in doubt until the end.
Merthyr: Morris, Keddle (Dane Williams 71), Needs, Eckhardt, Steve Williams, Griffiths (Shephard 58), Fowler, Cochlin, Dorrian, Welsh (Somers 73), Steins.
Subs Not Used: Loss, Ingram.
Booked: Keddle, Shephard.
Goals: Steve Williams 29.
Walsall: Gil Martin, Staunton, Bennett, Roper, Fox, Gerrard, Kris Taylor, Kinsella, Broad, Leitao, Fryatt.
Subs Not Used: Mckeown, Demontagnac, Nicholas, Sztybel, Bradley.
Goals: Fryatt 17 pen, Kinsella 25.
Ref: L Probert (Gloucestershire).