The 20-year-old, who spent the first half of last season with Vitoria Guimaraes in Portugal, has also spent time on loan with Doncaster and ADO Den Haag.
"He is a player that I have tried to sign on loan a couple of times previously," manager Dean Smith told the club's official website.
"I am delighted to finally be able to bring him here. He's a goalscorer with tremendous pace who knows where to run and has been well schooled in the game.
"He's highly-rated at Chelsea and will certainly bring a threat. He is a welcome addition to the squad."
Lalkovic, who will join up with the Saddlers until 4 January 2014, has been with Chelsea since the age of 14.