A second straight defeat in Southern Group C leaves them needing a minor miracle to progress through to the competition's knockout stages.
More pressingly, the streak without a triumph is now into double figures.
Michael Flynn's men were denied what looked to be a clear penalty early on as Jack Earing was sent tumbling by goalkeeper Shaun MacDonald.
They had every right to feel aggrieved with that decision, but they still had a job to do defensively and fell short as Dan Nlundulu and Liam Sercombe struck before the break.
Top scorer Danny Johnson grabbed his eighth goal of the campaign as a substitute late on for the Saddlers while, otherwise, the familiar lack of ruthlessness was there for all to see.
Flynn's side look completely devoid of confidence as they head into Saturday's clash with Tranmere Rovers at Bescot.
Walsall made five changes from their 1-0 loss at League Two table-toppers Leyton Orient at the weekend.
Earing, Peter Clarke, Hayden White, Danny Cashman and Tom Knowles were those to come in.
A welcome sight, meanwhile, was seeing left-back Liam Gordon in a matchday squad the first time as a Saddler, having missed the majority of pre-season with a foot injury picked up shortly after joining from Bolton Wanderers.
Flynn was left seething as Walsall were denied what appeared to be a stonewall penalty inside the first 10 minutes.
A sloppy backpass from a Cheltenham defender was latched upon by Earing, who was then unceremoniously wiped out by MacDonald.
It seemed inevitable referee Tom Reeves would point to the spot given the clear contact and that he had a fine view of the incident but, bizarrely, he waved away the Saddlers' appeals.
The enraged look on Flynn and assistant Wayne Hatswell's faces was not at all surprising.
To the Saddlers' credit, they did not let the controversial call deter them too much.
Earing was quick to dust himself down and win a free-kick in a dangerous position, with Knowles' effort hitting the wall.
Williams then hooked a volley off target before Knowles sent a headed attempt wayward.
The Robins grew in confidence as the half progressed – rangy striker Nlundulu proving to be a useful outlet.
Knowles, putting in the hard yards and tracking back, did well to get across and block a goal-bound shot from him.
Sercombe later had a strike deflect out off Clarke while Ryan Broom dragged one inches wide from six yards out.
Cheltenham were certainly knocking at the door and Walsall, ultimately, failed to stem the tide. The hosts helped themselves to a quickfire brace before the break through Nlundulu and Sercombe.
Nlundulu's opener came after a free-flowing attacking move that saw Alfie May play the ball wide to Ryan Jackson, whose pinpoint delivery was convincingly dispatched by the Robins' No.9.
Sercombe's strike arrived just five minutes later as his half-volley from the edge of the area took a slight deflection on its way past Evans.
Those goals put the Saddlers on course for another defeat, and just to rub salt into the wounds, Earing had another strong penalty appeal waved away before half-time.
The midfielder looked to be clipped after Cashman saw a close-range shot blocked but was once again ignored.
Walsall's attacking threat waned as the first half progressed, but Flynn stuck to his guns for the beginning of the second period in the hope of finding a route back into the game.
Earing fizzed a shot over the bar but, in the main, the lack of creativity and ideas in the final third continued.
Flynn made his first switch approaching the 70-minute mark as the ineffective Cashman made way for Gordon, making his first Saddlers outing at long last.
Another change soon followed as skipper Donervon Daniels clashed heads with Cheltenham stopper Charle Raglan and, as a precaution, was replaced by Taylor Allen. Raglan was also taken off by the hosts, with Tom Bradbury entering the fray.
With the clock ticking down, Walsall made another three substitutions as Johnson, Manny Monthe and Douglas James-Taylor came on for Williams, White and the below-par Isaac Hutchinson.
Johnson – a top performer despite the Saddlers' troubles so far this season – showed the rest how it is done with a composed finish.
Earing drove with the ball before finding the in-form hitman, who expertly picked out the far corner.
Walsall won a succession of corners during seven minutes of added time – shot-stopper Evans even coming up for them. However, it was too little too late for Flynn's men and the slump continues.
Cheltenham (3-5-2): MacDonald; Long (Taylor, 46), Raglan (Bradbury, 67), Freestone; Jackson, Sercombe, Perry (Chapman, 85), Broom, Ferry; May, Nlundulu (Norton, 59)
Subs not used: Brown, Lloyd, Barkers
Goals: Nlundulu (38), Sercombe (43)
Walsall (4-3-3): Evans; White (Monthe, 78), Clarke, Daniels (Allen, 68), Bennett; Kinsella, Earing, Hutchinson (James-Taylor, 78); Cashman (Gordon, 67), Williams (Johnson, 78), Knowles
Subs not used: Comley, Abraham
Goal: Johnson (86)
Attendance: 1,275 (158 Walsall fans)
Referee: Tom Reeves