Richard Money's men fully deserved their victory although they enjoyed a stroke of luck when Doncaster Rovers missed a penalty in the last minute.
Substitute Rhys Weston needlessly flattened home skipper Adam Lockwood, but James Coppinger stepped up and hit a feeble spot-kick wide of the mark.
To add to their misery Rovers had striker Lewis Guy sent off in injury time for something he said to the referee.
It was a different story at the start when Rovers began in confident style and Walsall survived a couple of penalty appeals for handball in the first 12 minutes.
Doncaster dominated with some slick passing football and went ahead in the 17th minute when defender Matthew Mills headed home in terrific style following a corner, for his second goal in four days.
But the home side's joy lasted only 11 minutes before Walsall hit back with a free-kick from Daniel Fox, which took a wicked deflection and rocketed into the net completely wrong-footing home keeper Neil Sullivan.
Rovers restored their advantage five minutes before the interval when Guy latched on to a splendid pass from Brian Stock and chested the ball down, before lashing it into the net from close range.
But a shocking second-half display from the home side and a splendid performance from the visitors turned the tables in dramatic fashion.
Mark Bradley stole in behind the defence to score from close range following a 66th minute free-kick and a moment of madness by Rovers keeper Sullivan gifted Walsall the points five minutes later.
Although in possession of the ball himself Sullivan stuck out a foot at Ishmel Demontagnac and Tommy Mooney rattled home the resulting penalty in confident style.
Coppinger's weak spot-kick followed and Guy's sending-off completed a miserable night for the home team.