Josh Gordon, on the back of his hat-trick in mid-week, opened the scoring within the first minute, getting on the end of Shay Facey’s cross.
Mat Sadler then made it two after 10 minutes, when he met Alfie Bates’ corner with a powerful header.
Harvey Knibbs added a goal for Cambridge in injury time, but the Saddlers hung on for the victory.
Darrell Clarke made three changes to the side that thrashed Forest Green Rovers 6-0 in the EFL Trophy on Tuesday, keeping the 5-3-2 formation, but often switching to 4-4-2 within the game.
Liam Roberts kept his place in goal, while Callum Cockerill-Mollett started on the left of the three centre-backs.
Captain James Clarke returned to the side after missing four games through injury, while Gordon and Caolan Lavery kept their places up front.
Cameron Norman and Gary Liddle dropped to the bench, while Dan Scarr missed out through suspension.
Kory Roberts and Jack Kiersey, who both made the bench against Rovers, were left out of the squad.
Colin Calderwood’s Cambridge side started in a 5-3-2 formation.
Experienced striker Marc Richards missed out on the squad altogether, giving 20-year-old Knibbs the chance to partner Sam Smith up front.
In front of a large home crowd, the Saddlers got off to the perfect start inside the first minute.
After some good pressing from Lavery forced a throw-in near the byline, Facey was able to play in a low cross for Gordon to tap home from close range - giving Walsall an early lead.
The Saddlers continued their early dominance in the first 10 minutes with several set pieces, with one resulting in Sadler doubling Walsall’s lead.
The defender met Bates’ corner to head home.
Walsall looked dangerous on every attack and almost made it three in the 18th minute.
Some excellent build-up play saw Gordon flick the ball around the corner to release Facey marauding down the right flank. His cross found Lavery who shot first time but aimed it straight at the goalkeeper.
As the game settled down, Knibbs almost pulled a goal back for the visitors. He was picked out in the box from a cross and despite having a free header, he directed it straight at Roberts in the Saddlers net.
Just after the 30 minute mark, Walsall were again lucky not to concede when they left Smith free in the box to head towards goal. His effort came back off the post and after a scramble in the box, the Saddlers cleared their lines.
Despite almost conceding, Walsall were the team that went closest in the closing stages of the half.
Firstly, after Rory Holden played Lavery down the channel, the midfielder then got on the end of the striker’s cross but his first time shot was well saved.
And minutes later Gordon did exceptionally well to run the length of Cambridge’s half with the ball and after his shot was blocked, he was able to pull it back to Bates whose effort was just wide of the post.
After two minutes of added time, Walsall went into the half-time break with their 2-0 lead in tact. The visitors were perhaps unlucky not to score, but the Saddlers were good value for the lead.
Cambridge started the second half brightly and substitute Jack Roles, who came on at half-time, almost got on the scoresheet early on when his curled effort was deflected and forced Roberts into a good save.
The visitors continued to apply pressure as Walsall looked to settle down on the ball.
But after an hour the best chance of the half fell to Walsall. Liam Kinsella did brilliantly to win the ball in midfield and play a ball over the top that sent Lavery through on goal. After delaying his shot, however, a last minute tackle from the defender took the ball off his foot as he was about to let fire.
Roberts almost gifted Cambridge an opportunity when he came for a cross and dropped the ball, but Walsall had enough men back to prevent a goal.
McDonald went close shortly after after cutting in on his right foot. He lashed a powerful effort, which was heading for the top corner, but well saved by Dimitar Mitov in the Cambridge net.
George Taft should have scored for Cambridge after 85 minutes, but made a complete mess of his attempt. A dinked free-kick found the defender, who was within five yards of the goal, but he completely missed the ball.
With Walsall looking to hang onto the lead as the game entered injury time, Knibbs finished low from inside the box to give Cambridge hope.
But the Saddlers hung on for the victory in front of almost 5,500 fans.
Walsall: Roberts, Facey, Clarke, Sadler, Cockerill-Mollett, Holden, Bates, Kinsella, McDonald, Gordon (Adebayo 87), Lavery (Gaffney 82).
Subs not used: Rose, Norman, Jules, Liddle, Hardy.
Cambridge: Mitov, Jones, Taylor, Taft (Norville-Williams 88), Ward, Davies (Dunk 59), Lewis (Roles 45), O’Neil, Maris, Knibbs, Smith.
Subs not used: Burton, Darling, Worman, Dallas.
Attendance: 5,429 (545 away).