The game's lone goal came in the 54th minute when Saddlers goalkeeper Richard O'Donnell saved a header from Leon Clarke following Carl Baker's corner, only for Moussa to pounce and flick home the rebound for his seventh goal of the season.
That extended the Sky Blues' unbeaten run to five games and was Walsall's first defeat in four, with the midlands derby always a close run affair.
Coventry began well and after Callum Wilson's cross-shot was cleared off the line, Moussa curled a shot just wide.
The Saddlers piled on the pressure late on, Romaine Sawyers had a shot saved by Murphy, but Coventry defended superbly and just about deserved the points.
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