The Saddlers slumped to a third successive home league and cup defeat as the pressure increased on under-fire manager Jimmy Mullen.
It took the visitors just six minutes to go in front when Jemal Johnson struck a ferocious shot into the roof of the net from just inside the box.
Walsall had no answer, particularly after losing Stephen Hughes with a head injury in the 26th minute, and Dons increased their lead in the 59th minute with Ali Gerba bravely heading in Johnson’s cross.
Sofiene Zaaboub, Dwayne Mattis and Mark Bradley squandered chances for the hosts and they were made to pay three minutes from time when Alan Navarro struck a post and former Walsall winger Mark Wright made no mistake with the rebound.
MK Dons move up to second in the table, one point behind leaders Leicester, while Walsall drop to 10th.