The injury-hit Saddlers had to play a largely inexperienced side and it often showed, with the Shrimpers controlling midfield principally through the efforts of Alan McCormack and Nicky Bailey, while the Saddlers gave the ball away far too often.
On-loan striker Leon Clarke was a constant threat, showing strength in holding the ball and a great deal of skill.
It was Walsall goalkeeper Clayton Ince who was first into action with a third-minute save from Mark Gower, following good build-up by Peter Clarke and Tommy Black.
Walsall were seldom a threat in the first half, the nearest to a goal being a Daniel Fox free-kick which deflected off Bailey, forcing keeper Steve Collis to save for a corner.
Southend deservedly took the lead in the 38th minute, when Walsall's defence failed to clear an inswinging corner from Steve Hammell and Peter Clarke scored with a firm header.
The Shrimpers' superiority was further emphasised five minutes into the second half when Anthony Gerrard gave the ball away, enabling Bailey and Gary Hooper to work an opening for Leon Clarke to score with an easy tap-in.
Walsall tried hard, with Michael Dobson heading over from a cross by Fox in the 61st minute and the hard-working Tommy Mooney heading wide from a cross by Rhys Weston.
Walsall saw more of the ball in the second half, but Southend defended well and substitute Paul Hall had a 76th minute cross-shot saved by Collis.
In the dying minutes Gerrard sent a header over from a corner by Fox and substitute Darren Wrack powered a shot high over as Walsall desperately sought a consolation goal.