The incident early in the second half proved a major turning point, with Clough's team leading at the time courtesy of Chris Porter's 17th-minute goal.
Craig Westcarr scored from the spot after 52 minutes and recalled full-back James Chambers then notched his first ever goal in 328 league games to win it and lift the Saddlers to within a point of the League One play-off zone.
Clough, who saw his side lose their eight-game unbeaten run, said: "It was nowhere near a penalty and the players are absolutely disgusted with the decision - especially Harry (Maguire, who was ruled to have pushed Walsall skipper Andy Butler). The referee said it was a push but there was nothing in it at all. The ball was sailing 10 yards over their heads.
"It's gone a long way to costing us a point - or three. I shall mark him (the referee) the lowest possible. It was a big turning point because we started brilliantly, got the goal we deserved, and could have had another. If that was a penalty we could have had two.
"Performances in the last dozen games suggest we shall get clear (of relegation). Now we need to get on another unbeaten run"
However, home defender Butler insisted it was a correct decision to award the penalty, and said: "It was a push from behind, and it's about time we got one. If Nigel watches it again he will see, even though the ball was nowhere near us to be fair."
Walsall manager Dean Smith praised his men for ending Sheffield United's unbeaten run.
"They were not on an unbeaten run for nothing and are well organised," he said. "I kept being told that we don't come from behind to win, so I'm really pleased we have.
"To be fair, they started better than us for 20 minutes and if we had weathered the storm we would have been alright. But they scored a really good goal before we sorted their system out."
Asked about the penalty, Smith admitted he did not see what happened.
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- Andy Butler