They had to withstand terrific second-half pressure from the Saddlers but hung on for their second away victory in League One.
Orient scored two cracking goals in the first half, starting in the 11th minute when tricky winger Lee Cook latched onto Kevin Lisbie's header and smashed a tremendous left-foot drive over home keeper Karl Darlow.
The Saddlers could make little headway going forward against the visitors' solid defence, and the Londoners rocked them with another spectacular effort after 29 minutes.
With Lisbie lying injured in the centre circle, Dean Cox decided to hammer the ball from near the halfway line and his effort screamed over Darlow, who was off his line and not expecting the strike.
Walsall got back into the game in the 58th minute when Gary Sawyer brought down Ben Purkiss and Will Grigg scored his first of the season from the penalty spot, but although home skipper Andy Butler hit a post late on, Orient held on.