The 44-year-old leaves the Saddlers flying high in League One, but insists the opportunity to possibly guide the Bees into the Premier League was too good to turn down.
"It was very emotional," Smith said. "The staff and the players mean an awful lot to me.
"We have been through some great times and some indifferent times.
"And there wasn't anybody cheering more than me when they beat Shrewsbury on Tuesday night."
Smith, who also described the Banks's faithful as 'outstanding', added: "The lure of coming and having the chance to manage in the Championship and hopefully the Premier League was too big to turn down.
"I hope Walsall fans can understand that."
Read the full Dean Smith interview in tomorrow's Express & Star.