Lee Peacock scored the only goal in the first half as Sheffield Wednesday booked their place in the second round.
Peacock controlled Glenn Whelan's pass on his chest before drilling a low shot past Saddlers keeper Mark Paston.
Lee Bullen tested Paston with a firm drive, while Chris Marsden had a header saved from Jon-Paul McGovern's cross.
Walsall's best chance of scoring came when Guy Branston almost turned the ball into his own net, forcing David Lucas to save at full stretch.
Sheff Wed: Lucas, Bullen, Heckingbottom, Branston, Collins,
Whelan, McGovern (Proudlock 78), Brunt (Ndumbu-Nsungu 61),
Marsden, MacLean, Peacock (McMahon 90).
Subs Not Used: Poulter, Wood.
Goals: Peacock 20.
Walsall: Paston, Aranalde, Dakinah, Kris Taylor, Willetts,
Standing, Merson, Wright (McDermott 77), Broad,
Birch (Williams 61), Atieno.
Subs Not Used: McKinney, Jameson, Dann.
Ref: T Bates (Stoke on Trent).