Will Grigg bundled in a seventh-minute opener for Walsall, only for Dominic Poleon, on loan from Leeds, to equalise four minutes later and although Bury made the better chances, they failed to follow up their first league win on Tuesday, which took them off the bottom of npower League One.
The hosts started strongly as Walsall goalkeeper David Grof turned wide a Steven Schumacher shot before denying David Healy, with Poleon putting the rebound over, but Walsall, now seven games without a win, took the lead as Grigg charged down goalkeeper Trevor Carson's clearance.
Bury replied with Poleon beating two defenders on the left to jink into the box and fire across goal into the bottom corner.
Grof then saved from Schumacher and Tom Hopper, while Walsall captain Andy Butler cleared Poleon's deflected shot off the line.
Walsall's Jamie Paterson tested Carson after the break before Hopper struck a post, but Bury's hopes of victory were dashed as Adam Lockwood failed to turn in Troy Hewitt's knock-down and Efe Sodje headed wide from Schumacher's corner.