The Shakers were beaten 1-0 with a devastating own goal in the 89th minute of the game at the Banks's Stadium.
The Shakers had dominated possession in both halves and created the better chances in the second, but it was the Saddlers who clinched all three points.
Bury made the relatively short trip down the M6 to Walsall knowing that nothing less than all three points would have been enough.
Ryan Lowe made five changes to the side that suffered the disappointing 2-0 defeat to local rivals Rochdale on Tuesday evening. Joe Murphy returned to the side for the first time since 28th October, when the Shakers were beaten 1-0 at home to Doncaster Rovers. Phil Edwards, Rohan Ince, James Hanson, and Harry Bunn also reclaimed a starting berth.
The Shakers almost had an early opener after just 3 minutes when Callum Styles' corner found Adam Thompson at the front post, he headed it well, but 'keeper Roberts was quick to react with a good save to parry away the effort.
After an encouraging start from the Shakers, the home side started to push forward. Amadou Bakayoko spun smartly and put in a cross towards Walsall's danger man Erhun Oztumer, but he could only manage to head it over Murphy's bar.
Minutes later, the home side broke again, with Oztumer the playmaker. He sent a low cross into the crowded Bury box from the left, but Murphy anticipated the move and was quick to come off his line and smother it.
Just before the half-hour mark, Dean Keates' side had their best opportunity of the half. Walsall found themselves on the counter-attack and used their pace to find Justin Shaibu on the left. He worked his way inside the box and let loose a rasping drive which produced a fine save from Murphy at his near post to see the ball go out for a corner.
The home side continued to push for an opener. Kieron Morris turned well inside the crowded area, before dragging a right-footed effort wide of the near post.
With just four minutes left on the clock before the half-time whistle, Bury responded with a swift counter-attack. Peter Clarke had the opportunity to take the Shakers into the break a goal to the good, but his header from Zeli Ismail's cross drifted wide of goal.
HT: Walsall 0 – Bury 0
The second half started in the same way as the first, with the Shakers having the opening chance. Neil Danns whipped a pinpoint cross straight to James Hanson who was lurking inside the box. He beat his man to the ball, but could only place his headed effort wide of the post.
It was all systems go for Bury at the start of the second half, with two chances coming in quick succession. Ismail darted into the box from Murphy’s quick ball upfield, cutting inside Adam Chambers and Jack Fitzwater before crossing towards Ryan Cooney who was well positioned for a tap-in, but he scuffed his chance. The ball soon found its way back to Ismail who fired a curling effort at goal, but Roberts pushed it to safety with a smart one-handed stop.
Bury continued to go in search of a deserved goal. Some good work from Ismail found Callum Styles on the edge of the box, he managed to get a shot away but it was deflected wide for a corner. The corner ball found its way to Danns who fancied his chance and took it with a well-struck right-footed drive, but his effort was parried away by Roberts.
Walsall's first real chance of the second half, against the run of play, came from Bakayoko, having a goal-bound header from Oztumer’s corner somehow kept out in Bury's crowded penalty area.
James Hanson was next up with an opportunity to put the Shakers in front. Some great play by Styles and Ismail resulted in the latter twisting his man and finding room for a superb cross, that found the head of Hanson, but he glanced the header agonisingly wide.
As the game was drawing to a close it looked destined to be a goalless draw but, with just a minute of normal time remaining, Walsall went ahead. It was heartbreak for the Shakers as Adam Thompson tried to clear Luke Leahy's cross but instead managed to head the ball into the back of his own net securing all three points for the Saddlers.
FT: Walsall 1 - Bury 0
Attendance: 3807 (Bury 130)
Walsall: L Roberts, Devlin, Fitzwater, Guthrie, Leahy, Chambers, Cuvelier (Dobson 63’), Morris, Oztumer, Shaibu (Ngoy 53’), Bakayoko.
Unused Subs: Gillespie, K Roberts, Kinsella, Flanagan, Kouhyar.
Bury: Murphy, Thompson, Edwards, Ismail (78' Miller), Styles, Cooney, Ince (90' Mayor), Danns (C) (90' O'Shea), Hanson, Bunn, Clarke.
Unused Subs: Ripley, Tutte, Dai, Shotton.