The hosts started the day second in League Two, while the Saddlers were 15th, but it was the visitors that started brightly.
With wing-backs on either flank Walsall were enjoying plenty of space and time and their precise passing in triangles created several opportunities. Emmanuel Osadebe and Caolan Lavery both went close.
It was a much tighter affair in the second half as The U’s improved, but Walsall still had good moments. Neither side created a clear-cut chance, however.
In the 94th minute, deep into extra time, Paul Mullin smashed the ball into the top corner from 20 yards to condemn Walsall to defeat in the most unfortunate of circumstances.
Brian Dutton made five changes to his side, starting with a 5-2-3 formation.
Dan Scarr, Sam Perry, Liam Kinsella, Osadebe and Josh Gordon all came into the team. Academy prospect Perry was making his second league start for the club, while Kinsella returned from a three-match ban.
Callum Cockerill-Mollett, Stuart Sinclair, Alfie Bates and Tyreik Wright all dropped to the bench, while Jayden Reid was not named in the squad.
Derick Osei Yaw and Jack Nolan, who missed out on the squad against Exeter on Tuesday, were not included again.
Mark Bonner made two changes to his side, starting in a 4-1-2-1-2 formation with a diamond in midfield.
Former Premier League player Wes Hoolahan came into the team at the tip of the diamond, and was joined by Hiram Boateng.
Shilow Tracey and Jack Iredale dropped to the bench.
Despite the gulf in the league table between the two sides it was Walsall that started on top. Regularly winning balls in the midfield and keeping the Cambridge forwards quiet.
The Saddlers then started threatening going forward. First Perry won the ball in midfield and fed Gordon on the wing. His cross found Lavery but his glancing header was wide.
After 12 minutes the visitors should have taken the lead when Lavery and Osadebe were racing towards goal with only one defender in the way. Lavery attempted to find Osadebe with a pass but failed to, and the opportunity was lost.
The counter-attacks kept coming for Walsall who were well on top. Osadebe, who had started the game well, was at the heart of them.
Despite not laying a glove on Walsall for the first 20 minutes Harrison Dunk almost gave them the lead with a low drive from the left.
The Saddlers bench were then calling for a penalty when Max Melbourne was brought down by Kyle Knoyle on the edge of the box, with some suggestions it may have been inside the area.
Osadebe almost put his side ahead in acrobatic fashion when he chested down a cross in the area and performed a mid-air volley, that was tipped over by goalkeeper Callum Burton.
Cameron Norman, who took a knock to the leg in the opening minutes of the game and attempted to continue, was forced to come off after 29 minutes. He was replaced by Wright who filled in at right-wing-back.
Hayden White almost became a surprising goalscorer when he danced into the box on the right, took on two players, and shot into the side netting.
Substitute Wright almost broke the deadlock after some wonderful Walsall build-up play. After White stepped out of defence brilliantly and fed Melbourne, the defender played a ball inside for Osadebe. The forward turned and played a superb reverse pass to Wright, on the right, who curled his shot aiming for the far post but dashed it just wide.
After a half, in which Walsall played their best football under Dutton and were unfortunate not to be ahead, they entered the break drawing 0-0.
The hosts made a fast start to the second half and went close when Dunk’s cross was met by Joe Ironside, but his header was straight at Liam Roberts.
Both sides locked horns in the opening minutes and had spells on the ball, but neither was able to find the first goal as the ticked past the hour mark. Several players began to slip, however, as the pitch condition worsened.
As the game became more scrappy Kinsella began to shine. The battling midfielder never stopped running and put in several superb tackles to win the ball back for his side.
In a half that was lacking chances Gordon came close when his header from a Wright cross was inches wide of the far post.
Adam May then blazed wide from the edge of the box for Cambridge before Gordon forced Burton into a save with a shot of his own.
Wes McDonald was introduced in the 85th minute as Walsall changed to a 4-1-4-1 formation in a final throw of the dice for a winner.
But it was the hosts that found it. Despite having a quiet game all afternoon, top goalscorer Mullin stepped up from 20 yards in the 94th minute to complete a smash and grab victory for Cambridge.
Walsall: Roberts, Norman (Wright, 29), White, Scarr, Sadler, Melbourne, Perry (Bates, 74), Kinsella, Osadebe, Gordon, Lavery (McDonald, 85).
Subs: Rose, Cockerill-Mollett, Sinclair, Vincent.
Cambridge: Burton, Knoyle, Drysdale, Taylor, Dunk, O’Neil (Tracey, 77), Boateng, May, Hoolahan, Mullin, Ironside.
Subs: McKenzie-Lyle, Davies, Iredale, Alese, Okedina, Worman.