Latics were denied any reward from a very good team performance at The Banks's Stadium as Adam Rooney missed a penalty in time added on to deny Lee Johnson's side a share of the spoils. Sam Manton had given the Saddlers the lead just after the hour mark.
Having watched his side play really well Johnson was distraught after the game: "I thought we were fantastic, the passing and movement in the second half was brilliant. We made so many chances, but unfortunately if you don't score you don't win. I have just told the lads they were fantastic. As a manager looking for a performance, that was it. The energy, the will to win, the performance was spot on"
Johnson had made two changes to the starting line-up from Saturday with Charlie MacDonald and James Dayton starting ahead of Jonson Clarke-Harris and Gary Harkins who both dropped to the bench.
Latics earned the first corner of the match on 6 minutes after superb build up play down the right, the resultant kick leading to an almighty scramble in the Saddlers six yard box, Paul Downing eventually clearing the danger for the home side.
The defenders long ball found Febian Brandy who raced through to force a corner for the home side, Latics rearguard clearing comfortably from the kick.
MacDonald had the first real effort on goal on 10 minutes, his snap shot being well blocked by Richard O'Donnell in the home goal.
More neat build-play from Latics forced their third corner of the half on 19 minutes from which there were loud appeals from all connected with Boundary Park, referee Graham waving away the protests.
The home side finally made their presence felt on 22 minutes with a decent move down the left, the incoming cross dealt with comfortably by Jonathan Grounds who headed well clear.
A misunderstanding at the back almost let in MacDonald on 27 minutes, O'Donnell quickly off his line to spare his defenders blushes as he nicked the ball of the Latics strikers toes.
Saddlers top scorer Craig Westcarr wasted a good chance for the home side on the half hour mark, blazing well over from the edge of the box.
The best effort of the half saw Andy Taylor's free kick strike the post after David Mellor was penalised for bringing down Brandy on the edge of the box on 32 minutes, the loose ball being cleared, much to the relief of the travelling Latics supporters at that end of the ground.
The home side were now piling on the pressure, forcing five corners in quick succession, the Latics rearguard standing firm to protect Mark Oxley.
MacDonald again claimed for a penalty as his shot was charged down in the box after a smooth counter attack had seen him free in space outside the box on 40 minutes.
Two minutes later MacDonald had the ball in the Walsall net only for a late offside flag to deny him the opening goal.
The half time whistle brought to an end a lively first half, after both sides played some decent football on a soaking wet surface, with the rain a constant
HT: Walsall 0 Latics 0
The second half opened at a similar pace the way the first half ended, both sides zipping the ball around on the wet surface. Danny Philliskirk raced onto a Michael Petrasso through ball only to be blatantly pulled back, again referee Graham waving away Latics appeals.
The Saddlers earned the first corner of the half after Genserix Kusunga had blocked an attack down the left, Oxley making a superb full length save to deny Paul Downing from Westcarr's kick .
A superb free kick from Dayton, after Korey Smith had been upended as he raced towards the box, struck the upright with keeper O'Donnell finally beaten, Philliskirk was first to the loose ball but his snap shot was inches wide of opening the scoring.
On 62 minutes Grounds became the first player to enter referee Graham's book after his rash challenge left Sam Manton on the floor.
GOAL 1-0 Manton exacted his revenge a couple of minutes later as he swept a loose ball into the corner of the net, after the Latics defence had failed to clear a ball in from the right.
Johnson replaced Petrasso and MacDonald with Jonson Clarke-Harris and Harkins before play restarted.
Oxley kept his side in the game on 70 minutes diving to his left to keep out a decent effort from Romaine Sawyers as the home side looked to put the game beyond Latics.
O'Donnell made a superb save on 77 minutes to deny Harkins his first goal for the club, the on loan striker's free kick destined for the bottom corner until the big keeper leapt to keep it out.
Adam Rooney replaced Philliskirk on 80 minutes as manager Johnson looked to give his side another attacking option.
With Latics firmly on the front foot Rooney missed a glorious opportunity to level the scores on 87 minutes, slicing his effort wide after superb build-up play between Harkins and Dayton, the latter's cross finding Rooney free at the far post.
In added time Rooney missed the best chance of a late leveller as his penalty was brilliantly saved by O'Donnell, the spot kick was awarded after James Wesolowski had been brought down in the box by Downing. Rooney's kick was struck well enough but O'Donnell dived to his right to make the save of the night and seal the win for his side.
Johnson added: "I thought tonight was a great advert for the two clubs, both on small budgets, with superb football played all over the park. The penalty save denies us a point but I thought we should have had all three. In a game where we created around ten chances it is really disappointing to come away with nothing for our efforts. The players have now got to pick themselves up, which will be hard after they have given what they have tonight, but we have another big game on Saturday and we will be ready"
FT: Walsall 1 Latics 0
ATT: 3,522 (182 )
Latics: Oxley, Grounds, Wesolowski, Kusunga, Tarkowski, Smith, Mellor, MacDonald (Harkins), Petrasso (Clarke-Harris), Dayton, Philliskirk (Rooney).
Unused Subs: Rachubka, Rodgers, Lockwood, Brown.
Possession - 53%
Shots on Target - 3
Shots off target - 8
Corners - 6
Fouls - 5
Bookings - 3 (Grounds, Kusunga, Clarke-Harris)