The Essex hosts have only won one of their first nine home fixtures since their move from Layer Road to the Community Stadium, and they failed to break down a well-organised Walsall side.
The Saddlers soaked up some early pressure before breaking the deadlock with their first real attack on 16 minutes. Winger Troy Deeney did well to swing over a cross from the right flank and midfielder Dwayne Mattis stuck out a boot to steer the ball beyond the reach of home keeper Mark Cousins.
Thereafter, United were fighting a losing battle. They had plenty of the ball, but rarely threatened to beat keeper Clayton Ince, who didn't put a foot wrong all afternoon.
Mark Yeates at least warmed the hands of Ince with a stinging long-range free-kick, while in first-half stoppage time, the Walsall keeper was glad to collect Johnnie Jackson's slick shot on the turn.
Colchester rather lost their way in the second half and were dead and buried when dangerman Michael Ricketts doubled the lead just after the hour.
Ricketts made it eight goals for the season by heading home a teasing corner from Chris Palmer, the ball floating over keeper Cousins to allow an unmarked Ricketts to hit the target with a looping header.
There was still nearly half-an-hour to play, but in truth Walsall already had this game in the bag.
A double substitution saw striker Akanni-Sunday Wasiu and Anthony Wordsworth join the fray and they both peppered the target late on.
Wordsworth had a goalbound shot deflected wide while Nigerian-born Wasiu turned well before dragging a shot wide from a promising position.
As a result, the U's are just one place above the relegation zone, due to a dreadful home record.
Their one success came against Carlisle, but otherwise they have struggled to adjust to life at the new ground and their new league, following relegation last season.