Early goals in the first and second halves result in disappointing defeat for the Blues.
Blues tasted defeat at Roots Hall, after goals from Tom Bradshaw and Sam Mantom at the start of each half condemned Southend to a loss in the first home game of the new league season.
Phil Brown made two changes from the side who started the last league fixture at Fleetwood, with Kevan Hurst and Will Atkinson replaced by Gary Deegan and Joe Pigott.
The first chance of the game fell to Blues inside the opening two minutes, when an inviting ball from Ben Coker fell for Pigott. The on-loan Charlton Athletic striker drilled an effort across goal that could only be parried by Saddlers goalkeeper Neil Etheridge, but David Mooney missed on the follow-up.
Walsall then went in front with their first notable chance. A ball in from the left rebounded and fell for Bradshaw, who shuffled his feet before finding the far side of goal with a low left-footed strike.
Myles Weston was making headway on the flanks, and a low-ball across goal was turned behind. From the resulting corner, Anthony Wordsworth hooked the ball back in for Adam Barrett to head over.
Blues created another opportunity in the 27th minute, when Ryan Leonard broke in behind the Walsall back-line, only to see his ball go across the face of goal with no decisive contact.
The Saddlers looked for the second goal of the game and looked well placed to get it in the 32nd minute. A darting run from Romaine Sawyers led to the ball being cut-back to the edge of the area for Mantom, but the Walsall midfielder went for precision over power and his effort was all too easy for Dan Bentley.
Blues boss Brown then opted to make a first-half substitution, with David Mooney withdrawn to make way for Jack Payne.
Bradshaw, having scored four goals already this season, went in search of his fifth. His strike from the edge of the area in the 39th minute deflected off the back of Barrett, but looped up into the arms of Bentley.
Blues went in 1-0 down at the interval, but started the second half with attacking intent.
Weston broke free on the left wing before seeing his low cross smothered by Etheridge at the near post, before Pigott drifted off the left before curling an effort wide of the far post.
However, Walsall quickly went up the other end and doubled their lead. A cross from Andy Taylor fell to the feet of Mantom, who found the back of the net with a low strike from the edge of the box.
Walsall man Sawyers then went into the book for dissent, before David Worrall came on to replace Deegan in the 55th minute.
It could’ve been 3-0 in the 57th minute, but for the combination of Leonard and Bentley to snuff out the opportunity. After Bradshaw charged down the right flank, he pulled the ball back for Sawyers, who delayed just long enough for Leonard and Bentley to block his effort.
Leonard then tried his luck from range with a kung-fu kick of a volley, but his strike sailed over the Walsall goal.
Blues had the ball in the back of the net in the 66th minute, but Wordsworth was adjudged to have been offside after heading in Worrall’s cross from the left.
Worrall continued to cause problems for the visitors, running at the goal from the left channel before cutting inside and seeing his low strike draw a save from Etheridge at his near post.
Walsall boss Dean Smith made a double change with 20 minutes of play remaining, with James Baxendale and Anthony Forde replacing Reece Flanagan and Rico Henry.
Blues took the opportunity to make their final change of the afternoon, with Hurst replacing Weston.
Cian Bolger became the first Blues player to pick up a card with just 18 minutes left to play, after bringing down Mantom.
Walsall full-back Jason Demetriou was forced to clear the ball on his own goal-line with 12 minutes remaining, after Worrall arrived at the far post and connected with a Leonard corner.
The Saddlers promptly made their third substitution, with Jordan Cook replacing Bradshaw.
Bolger provided a last-ditch clearance in the 80th minute, after Walsall substitute Baxendale had managed to beat Bentley after escaping the attention of the Blues back-line.
The visiting goalkeeper then pulled off a fine reaction save, springing to his left to punch away a thumping volley from Hurst.
Hurst threatened to trouble Etheridge again soon after, but after advancing on goal he could only rifle his effort into the side-netting.
Match referee Andy Davies then reached for a yellow card, cautioning Etheridge after continued time-wasting from the Walsall goalkeeper.
Wordsworth then went into the book after barging Etheridge after the stopper had claimed a lofted ball from Payne.
Fourth official Nicholas Cooper indicated a minimum of five minutes of additional time at the end of the game, as Blues continued to look for a way back into the tie.
Walsall nearly added a third goal, but for a great save from Bentley after a rasping drive across the face of goal from Saddlers substitute Cook.
Bolger had a chance to pull one back for Blues with time ebbing away but poked over the Walsall goal from close range after Worrall headed back across goal from a Southend corner.
With no further chances to follow, the match concluded with Walsall recording a 2-0 win at Roots Hall.
SOUTHEND UNITED: Bentley; White, Bolger, Barrett, Coker; Leonard, Wordsworth, Deegan (Worrall - 55’), Weston (Hurst - 70’); Mooney (Payne - 33’), Pigott.
Unused Substitutes: T. Smith, Prosser, Atkinson, Timlin.