A 65th-minute strike from Sam Mantom clinched the points for the Saddlers, but the home side were indebted to goalkeeper Richard O'Donnell for a brilliant save to keep out substitute Adam Rooney's fierce spot-kick after James Tarkowski had been brought down by Paul Downing.
Both sides played some excellent football and Oldham should have taken the lead in the 10th minute but Charlie MacDonald's close-range drive was beaten out by O'Donnell. Walsall then went close after 34 minutes when Andy Taylor hit a post with a superb free-kick.
Febian Brandy, put straight into the Walsall line-up after returning on-loan from Sheffield United, played his part in the build-up to the winner when Mantom lashed home his third goal of the season from just outside the box.
Oldham piled forward repeatedly but O'Donnell refused to be beaten, making another outstanding save from Gary Harkins' 78th-minute free-kick.