Carl Baker and David McGoldrick, who have 12 goals between them in City's last eight matches, scored two goals each and ensured Robins' team recovered from going behind to an early own goal from full-back Blair Adams.
Baker equalised in the 29th minute before McGoldrick scored twice before the break to take his season tally to 15.
Cyrus Christie added a fourth just after the hour-mark before Walsall skipper Andy Butler was sent off late on for a second booking.
Baker hit his second and Coventry's fifth six minutes from time to make it just one defeat in 10 matches for Robins.
He said: "We scored all six goals - including giving them a start. But, and I mean this as no disrespect to Walsall, I thought we were better than them in every department.
"I thought we were excellent in the way we tried to press them, but there are still things we need to learn.
"Once we got the first goal I thought there was only going to be one winner. Even before the own goal, we had created clear-cut chances so I don't think five flattered us.
"David McGoldrick took his chances well and, likewise, Carl Baker. David was hungry. I could see that from the moment I laid eyes on him.
"Carl has been on fire for us. He's playing well and scoring goals, but he picked up his fifth yellow card, so he'll be a big miss for us."