The Saddlers have still to concede a home goal, but MK Dons fans leaving the Bescot Stadium might have thought that their side should have won.
It was a game full of keen, hard football but very little constructive play and the Dons were certainly the better side for most of it.
Walsall had the first effort on goal after just five minutes when a shot by Daniel Fox was taken by their former goalkeeper, Lee Harper, after Martin Butler had pulled back a cross by Kris Taylor.
But, thereafter, the Dons looked by far the more dangerous side, with big Clive Platt winning everything in the air up front and Izale McLeod making some good tricky runs.
In the seventh minute Walsall goalkeeper Clayton Ince maintained the magnificent form he showed all season by saving a shot from Gareth Edds.
In the 28th minute McLeod cut through the Walsall defence and went down from a challenge by Ian Roper. With the Dons appealing for a penalty, referee Graham Salisbury reacted by booking McLeod for diving.
The visitors remained on top for the remainder of the first half, although Walsall's Fox had a 30-yard shot go just wide following a good pass by Craig Pead.
Moments before the interval, though, Jon-Paul McGovern sent over a dangerous corner from which Sean O'Hanlon had a fine header tipped over by Ince.
Six minutes after half time Walsall manager Richard Money brought on young defender Scott Dann in a striking role, replacing the ineffective Hector Sam.
Dann was involved in various promising Walsall moves and in the 64th minute his superb header produced the first save of the match by Harper.
Dons boss Martin Allen also made an effective substitution in the 68th minute, replacing McGovern with fast winger Lloyd Dyer, who also enlivened his side.
In the 77th minute Walsall might well have gone behind through an own goal. Dyer crossed from the left and a header by Taylor was somehow kept from going into his own net by Ince.
The Dons, far from closing the match up, were the more effective side until the end, although Taylor did have an 85th minute volley which went straight at Harper.