The Saddlers welcome Ryan Lowe’s side to Banks’s Stadium having lost their last four games in League One without scoring a goal.
That run has seen them slip to within two points of the relegation zone with seven matches still to play.
Bury, bottom of the table, arrive in even worse form with the Shakers on the brink of League Two after losing their last five.
But while Walsall’s results over the last month have been poor, Leahy says the entire season hasn’t been good enough.
“I don’ think we can put our position in the table down to the last couple of games.” the defender said.
“Throughout the season, we’d have a good result and then we would go on to have two or three defeats. We haven’t been able to find that level of consistency.
“Now we need to start putting things right and it begins against Bury.
"We have lost to them twice this season and we owe it to ourselves and the fans to beat them.
“It’s a must win. And it starts a run where we face three or four teams all around us in the table.
“We have to start playing to our potential. If we do that, we won’t have a problem.”
Despite their recent run, Leahy says confidence in the camp remains high with the players adamant they will stay up.
“The lads still have their heads up and are confident,” the 25-year-old continued.
“Training has been really good. It’s been intense and the standard has been high. But we need to take that into match days.
“Hopefully the fans will get right behind us against Bury. It’s a big game and we need all the support we can get.
“When our fans are on top they are like a 12th man. They suck that ball into the goal.
“Hopefully on Saturday they’ll come and watch us and help us get three points.”
Leahy has been part of a back-four that has conceded 58 goals in League One this season.
New boss Dean Keates meanwhile, is known for keeping clean sheets with his Wrexham side having kept 20 before his departure.
And Leahy said his new manager is working hard to make the team more defensively secure.
“It’s not just been the back four he has been working with – it’s been the whole 11,” he added.
“He wants us defending from the front and he wants us to be in certain positions when the opposition has the ball.
“I think it showed against Portsmouth. Although we lost 1-0, I thought we were more structured. We knew our positions. It has given us something to build on.
“At the minute – and with where we are – it’s results over performances though.
"The only thing that matters is staying in League One.”