Having drawn four previous fixtures in this division, Preston took the lead in the 30th minute when Joel Byrom curled in a perfect free-kick from outside the box and all Walsall had to offer in the first half was a shot off target by Craig Westcarr.
Lively winger Chris Humphrey added a second for North End after cutting inside on 58 minutes and three minutes later the visitors made sure of the points when Lee Holmes cashed in on a howler by Malvind Benning to put the result beyond doubt.
Manager Simon Grayson was delighted with his men and said: "We can be very pleased with the way we played. The tempo was very good from the start and the game could easily have been over by half-time. We had numerous chances."
Asked if he had been concerned that his team hadn't won a league game before this one, he replied: "It was not concerning me because we had been playing well.
"Today we passed the ball well and defended well, and to win away from home, score three goals and conceded none has to be a half-decent performance.
"Apart from the three goals, we had half-a-dozen other opportunities to score and were a constant threat every time we moved forward."
"Kevin has played at the highest level and he's done that to many defenders over his career," said the Preston boss. "That's why we pushed to get him to this football club."