Inspired by England under-19 international Matt Fryatt, who scored one and created the second, Paul Merson's side went some way to making amends for their failure in the first round last season when they were beaten by Slough Town.
Fryatt set an injury-ravaged Walsall on their way with a 17th minute penalty and from that moment onwards the Saddlers rarely looked like falling at the first hurdle for the second successive season.
Merthyr defender Dale Griffiths brought down Fryatt with a needless challenge just inside the box and the confident 19-year-old dispatched the spot-kick under the body of Ashley Morris to break the deadlock.
Fryatt was proving a real handful for the home defence and it was no surprise when he set-up veteran midfielder Mark Kinsella for the second eight minutes later.
He teed up the former Republic of Ireland midfielder with a neat flick and the finish was equally as impressive as Kinsella hit a superb dipping volley from 25 yards into the back of the net.
Sixty seconds later Morris prevented his side from conceding a third with a fine double save from Fryatt and Jorge Leitao and the keeper's heroics seemed to spur on Merthyr in front of a bumper 3,000 crowd.
Left-back Steve Williams pulled one back with a free-kick in the 29th minute which pierced a poor defensive wall and left keeper Rene Gilmartin totally flat-footed.
After the break Merthyr pressed for an equaliser and Craig Steins almost found it in bizarre fashion.
The striker blocked an attempted clearance in the 67th minute and the ball almost looped over the head of Gilmartin but the stand in keeper was alive to the danger and clawed the ball away at full stretch.
Jason Welsh had couple of half chances soon after but Walsall always looked comfortable and should have killed off the tie the 75th minute when Kris Taylor lifted the ball over the advancing keeper but it drifted wide of the post.