Despite the visitors winless in League Two and rooted at the bottom of the table, they had the better chances in the first half as Brandon Goodship should have scored with a one-on-one chance in the opening two minutes.
It was a frustrating showing for Walsall who huffed and puffed throughout, despite slightly improving in the second half.
Elijah Adebayo had the chance his team were desperate for in the 82nd minute, with a penalty, but the striker smashed the crossbar with his effort.
As Walsall pushed for a late winner the visitors went up the other end and Emile Acquah turned to squeeze home a shot into the bottom corner.
The game ended 1-0 and handed Southend their first win of the season.