The Mariners showed great character after conceding an early Martin Butler goal and deservedly drew level through Paul Bolland before half-time, after bossing the first period.
The second half was a different story and the Saddlers squandered three or four great chances before home substitute Peter Bore netted the winner 17 minutes from time.
Grimsby, who had Ricky Ravenhill making his debut in midfield, started well and it was against the run of play when the visitors grabbed a ninth-minute lead.
Bad defending and a lack of decisiveness in the box enabled Butler to crash in his fourth goal of the season from close range.
But Grimsby were not deterred by setback and pinned Walsall back for the remainder of the period.
Striker Isaiah Rankin had three good chances before the inevitable equaliser came after 39 minutes. Walsall failed to clear a Peter Beagrie cross and skipper Bolland followed up to sweep home a shot.
Half-time came at the wrong time for Grimsby, who were well on top, but manager Graham Rodger had his players out early to get themselves ready for the start of the second period.
Even so, they looked cold when Butler headed over from a great chance.
Butler and Daniel Fox went close before Grimsby found the winner against the run of play.
Walsall failed to clear a free-kick and Gary Jones flicked the ball on, allowing Bore to loop a header over the goalkeeper and into the net.
The visitors stepped things up in a desperate effort to find an equaliser and there were some hairy moments in the Grimsby defence. None more so than a corner deep into stoppage-time that goalkeeper Phil Barnes had to come and claim.