The odds on the Dons victory was 12/5 and they only just managed to squeeze home.
Walsall looked more than capable of taking a draw. It was nip and tuck for 15 minutes before the Saddlers grabbed the initiative. Joby McAnuff snuffed their good work by scoring in the 25th minute. Junior equalised on 41 after three unrewarded efforts in an earlier five-minute spell.
The winner came in injury time after the Saddlers had wiped out Neil Shipperley's penalty in the 69th minute. Danny Sonner dispatched one of his own ten minutes from time.
Just as a draw looked like the deserved result substitute Damien Francis popped up at put away the winner past Jimmy Walker to leave a frantic last few minutes.
Walsall's Jorge Leitao's first-half activity found little reward just as Wimbledon's hotshot Connolly also discovered.
Purely against the run of play Shipperley slid a shooting opportunity in to McAnuff. He ran round the goalkeeper to net his third goal of the season.
Five minutes from the break McAnuff's second opening was slammed shut by Darren Wrack. The ball went to the other end and Junior grabbed his sixth goal in a crowded box.
On half time the luckless Leitao lurking in the six- yard box had Darren Holloway diving full length to head away his opening.
The second dawdled along for 19 minutes. The play was scrappy, uninventive and directionless. The attacks fizzled out almost before they had begun.
McAnuff was fouled and Peter Hawkins hit the ball into the box. the referee pointed to the spot and Ludo Pollet was yellow-carded immediately after Shipperley had sent Walker the wrong way and restored Wimbledon's lead Wrack was booked for arguing over the decision.
The Saddlers thought back and Leitao flashed a header over the bar it was quiet for 11 minutes as the sides got their breath back. Holloway foolishly pushed Leitao in the Dons box and Sonner drove the penalty in to the corner of the net to equalise.
In a grandstand finish Leitao burst through in the 85th minute, but Kelvin Davis stood still, stood up and saved the shot.
Into injury time and substitute Francis hit the winner from eight yards, before Rob Gier's indiscretion earned him a straight red card right at the death