Murphy's penalty opened the scoring before Aneke put the result beyond doubt with a superb finish four minutes from time.
The Railwaymen's starting XI was made up entirely of academy graduates.
And they were soon showing what they can do with a slick move involving Crewe's Kelvin Mellor, Max Clayton and Byron Moore, which resulted in the latter firing wide before Mellor saw a header saved by Walsall goalkeeper Sam Johnstone.
Cute skill from Walsall's Will Grigg left George Ray on the deck, but Crewe defender Harry Davis rescued his team-mate with a perfectly-timed tackle.
Jamie Paterson drilled wide before Grigg evaded Ray again and cut back for Febian Brandy, but the Walsall winger shot tamely at Crewe goalkeeper Ben Garratt.
Moore should have put Crewe in front, but miscued his finish when Ryan Colcough had picked him out at the far post.
Garratt then beat away James Baxendale's fierce strike, while Brandy hit the foot of the post after being teed up by Grigg.
The Alex got their noses in front when Walsall keeper Johnstone was judged to have brought down Moore in the box and Murphy slammed home the subsequent spot kick in the 78th minute.
Aneke doubled Crewe' lead with a side-footed finish into the top corner after being set up by Bradden Inman with four minutes to go.