The 29-year-old has signed a one-year contract at the Banks's Stadium following his release from Port Vale.
Primarily a right-back, he has also played as a left-back and in midfield in the past – having been at Grimsby, Morecambe and Oldham in the Football League as well.
"I’m over the moon. It got done quite quickly. I met the manager and decided that I want to be part of this journey," said Mills.
“I want to bring everything I can to the team.
"First and foremost, I’m a defender. I like to get forward if I can, but any value I can add to a successful team is what I’m hoping to achieve here.”
Mills began his career at Histon in non-league before joining Boston United in 2014.
He made the step up to the Football League with Grimsby two years later and made 66 appearances.
A successful campaign at Morecambe saw him win the supporters' player of the year award in 2018/19 before having one-season spells with both Oldham and Vale in League Two.
Walsall boss Matt Taylor added on the versatile Mills: "Zak is a fantastic character.
"He’s someone who came into the professional game late, and he has huge hunger to be successful himself and be part of a successful team.
“I like the fact Zak can play in more than one position, he gives us options at the back, and he’s a very capable defender in all situations so I’m extremely happy to have him and looking forward to working with him on a daily basis.”
Mills follows Jack Earing, Brendan Kiernan, Manny Monthe, Joss Labadie, Conor Wilkinson and Ash Taylor in joining the Saddlers in this window.