The striker, who has moved to the Banks's Stadium on loan from Burnley, netted a debut goal on Saturday as the Saddlers secured a 2-1 victory Plymouth.
Agyei powered home a header from a Luke Leahy cross less than 48 hours after joining the club on deadline day.
And he revealed it was a last-gasp phone call from Jon Whitney that convinced him to become a Saddler.
"The move was a last minute thing," he said.
"I was going to sign for another club. Walsall came in at the 11th hour and I decided to come here.
"I spoke to the gaffer on the phone and he really convinced me. He made me feel like coming to Walsall was the right move for me.
"I asked him what his plans were for me, how he sees me playing and how he sees me developing.
"And so far I have really enjoyed it. To get a debut goal and get up and running was great.
"I felt like I was a threat throughout the Plymouth game. I was getting chances and was a bit unlucky not to score before the goal.
"It was a great team performance and for me, hopefully the first of many goals."
Agyei was snapped up by Burnley for £100,000 after he scored 35 goals for AFC Wimbledon’s under-18 and under-21 sides during the 2014/15 campaign.
The Clarets, who were in the Championship at the time, edged out Premier League sides Chelsea, Crystal Palace and West Ham to land the promising forward.
And Agyei, who enjoyed a successful loan spell at Coventry last season, revealed why he turned down more high profile clubs to move to Lancashire.
"For me it was all about playing football," the 20-year-old continued.
"At the time Burnley were in the Championship and I felt if I did well I would get my chance there.
"I knew if I played well and scored goals I would get an opportunity.
"I've played three first-team games there. I played against Manchester United, Liverpool and Everton.
"Now Sean Dyche has said he wants me to go out on loan to get more experience and I feel the way Walsall play will really suit me."