The Saddlers' winless streak now stands at four games on the back of yet another abject afternoon, which leaves them languishing down in 17th in League Two.
And with Menayese dismissed following two cautions, it means the inexperienced Tom Leak is the only recognised centre-half available for Tuesday's visit of Bradford City.
The Matt Taylor derby saw Walsall trail at the break thanks to Tim Dieng's free header from a corner.
Menayese was sent for an early shower just after the interval, with the Grecians then netting from another corner through Cheick Diabate to put the result beyond any doubt late on.
From a Saddlers point of view, it is difficult to find any positives.
They have won just two of their last 13 games in all competitions, the squad is well short in terms of both quality and quantity, and they failed to create a clear-cut opportunity all afternoon against Exeter.
Walsall, simply put, need to make significant additions before the end of the month.
Everybody is aware that any play-off ambitions are now – barring the most miraculous of turnarounds – out of sight.
But they need to make sure they do not get dragged into relegation trouble because, frankly, it is hard to see where on earth the next win is going to come from.
Walsall made two changes from the loss at Mansfield Town.
Fans' favourite Liam Kinsella made a welcome return to midfield, with Emmanuel Osadebe dropped to the bench.
George Miller – having not scored since his double against Barrow back on October 23 – was replaced by Conor Wilkinson at centre forward.
Exeter, meanwhile, went with the same side that beat Scunthorpe United 2-0 last weekend.
The Saddlers showed vigour in the opening seconds as they moved the ball around quickly and won a corner down the right flank.
But with nothing coming from that, they soon had Rushworth to thank for a truly outstanding double-save.
Josh Key's whipped delivery was met by the unmarked Offrande Zanzala, whose header from point-blank range forced an immense reaction stop from the Brighton loanee.
Zanzala then had another go, and Rushworth astonishingly raced across his line to keep the ball out once more – rightly earning a wave of applause from the Banks's faithful.
The Grecians were again flummoxed as Rushworth, albeit not in quite such spectacular fashion, got down swiftly to deny Matt Jay.
And after that, Walsall showed some combativeness and created a couple of half-chances.
Wilkinson had a decent headed opportunity but did not connect properly as the ball rolled off his shoulder and into the grateful arms of Cameron Dawson.
Jack Earing also tried his luck from long range for the Saddlers, blazing high and wide.
An enforced change came just past the half-hour mark as Stephen Ward limped off, with Zak Mills taking his place.
Then, on the stroke of half-time, having looked the more dangerous outfit going forward, Exeter took the lead.
Archie Collins swung a corner into the corridor of uncertainty between the goal-line and six-yard box, and indecision from both Rushworth and his backline was punished.
Dieng rose highest to nod the ball into the net, giving Walsall another obstacle to overcome.
The second period got off to a nightmare start for the Saddlers.
They narrowly avoided conceding an own goal as Hayden White headed Jevani Brown's cross onto his own crossbar.
More haphazard defending from Walsall then resulted in Menayese's dismissal.
Rushworth got himself into bother after rushing off his line, presenting the ball to Brown. Menayese, having picked up a booking for a foul on the same player in the first half, chopped him down for a second yellow card.
That defensive horror-show put the Saddlers down to 10 men for the final 40 minutes.
They responded by throwing caution to the wind and bringing on Miller in a makeshift 3-4-2 formation, aiming to snatch a goal on the counter-attack. Kieran Phillips entered the fray, too.
Walsall, though, showed no signs of forging a fightback.
The Grecians were keeping them at arm's length, and it just seemed a case of when they would add a second to kill it off.
That arrived in the 84th minute as the Saddlers were undone from another corner. This time, Diabate was the one to apply the finishing touch and beat Rushworth, who had just acrobatically denied Collins.
Another dismal day was met with some boos at the final whistle, understandably so. Signings have to be made.
Walsall (4-2-3-1): Rushworth; White, Menayese, Leak, Ward (Mills, 33); Labadie (c), Kinsella; Shade (Miller, 54), Earing, Kiernan; Wilkinson (Phillips, 77)
Subs not used: Rose (gk), Perry, Bates, Osadebe
Red card: Menayese (50)
Exeter (3-4-2-1): Dawson; Stubbs, Diabate, Sweeney; Key, Dieng, Collins, Caprice; Jay (c), Brown; Zanzala (Amond, 16)
Subs not used: Brown (gk), Sparkes, Atangana, Taylor, Grounds, Coley
Goals: Dieng (44), Diabate (84)
Referee: Darren Handley