The Saddlers' 12th signing of a busy summer, the 21-year-old arrives having scored four goals for the Foxes' under-23s in Premier League 2 last season.
He has also featured internationally for St Kitts & Nevis U20s, and Walsall boss Matt Taylor said: "We’re really happy.
“It’s been a protracted transfer and Tyrese is someone we identified early in the process of coming into the football club that he would give us an opportunity to stretch teams, and we’re really happy that we’ve managed to get the deal over the line."
Shade introduced himself to supporters as the Saddlers held an open training session at the Banks's Stadium this morning.
Taylor added: “It’s taken time and I’m excited for the players to see Tyrese in training but more importantly for the fans because he’ll be a player that will excite them and take risks in the final third.
“He’s had a fantastic education football-wise with Leicester and we’re really pleased we’ve managed to get him on board.”