The Saddlers had beaten Leeds on Saturday but never looked capable of repeating that surprise against the slick Foxes.
It took Leicester only 12 minutes to breach the home defence and it was former Walsall striker Matty Fryatt who did the damage, running on to a back header from Jack Hobbs and nodding his 25th goal of the season.
Andy King was denied by goalkeeper Clayton Ince when clean through after 28 minutes but six minutes later he made no mistake with the visitors' second after good work by Lloyd Dyer and Steve Howard.
Any hopes Walsall had of a second-half recovery were squashed within two minutes of the restart, Fryatt creating the chance for the lively Tom Cleverley to drive number three past the keeper. Howard then completed the rout in the 52nd minute when he robbed Ince and scored from an angle.
Walsall grabbed a consolation goal after 64 minutes, Dwayne Mattis hooking the ball in during a goalmouth scramble following a free-kick.