The defeat leaves the Dons rooted to the foot of the Nationwide Division One table having lost 17 of their 23 League games so far this season.
Substitute Neil Emblen scored the crucial goal with a scrambled effort just 18 minutes from the end of a disappointing encounter.
The Saddlers just about deserved the win. They started brightly with Portsmouth defender Jamie Vincent, currently on loan at the Bescot Stadium, testing Steve Banks with a sweet shot.
At the other end Patrick Agyemang scuffed a shot wide of James Walker's goal before the Walsall keeper did well to keep out Wayne Gray's close-range header.
Emblen came on for the injured Steve Corica in the 50th minute and he grabbed the winner after Wimbledon wasted a string of second-half chances.
Adam Nowland, Darren Holloway and Agyemang all went close for Stuart Murdoch's side but a Banks error allowed Emblen to grab the goal that secured only Walsall's second away win of the campaign.