The 18-year-old, who is an England youth international, has moved to Ewood Park where he will join up with Rovers' under-23 squad.
Candlin made his Saddlers debut against Bradford in April 2017, aged just 16.
He signed his first professional contract three months later and went onto help the Saddlers development squad win the Walsall Senior Cup that year.
Back in March, the teenager was called up to train with the England under-18 squad.
The Express & Star understands Blackburn have paid a loan fee to take Candlin to Lancashire.
They will then have the option to make the deal permanent in January if he impresses.
Candlin said: "I can't wait to get playing and do as well as I can at a great club with a massive history.
"The facilities here are outstanding and they will hopefully bring out the best in me.
"I hope to gain knowledge and experience from both Damien Johnson (coach) and Tony Mowbray (manager) - I've met them both and they are really nice people.
"The goal is to ultimately play first team football, but I'm aware that I have to produce the goods for the under-23s first.
"I played under two different managers at Walsall and felt I handled the physical nature of League One well and did okay when I played.
"Having been on the bench for Walsall in the league game against Rovers at Ewood Park last season, I saw a clinical team that played the right way and I was very impressed. I can't wait to get going with this great club."