Nigel Pearson's newly promoted Premier League outfit won both of their friendlies prior to their trip to the Bescot Stadium, including a 1-0 victory over Everton in Bangkok on Sunday, but they needed a late Danny Drinkwater strike to continue that run.
Leicester appeared on course for a simple victory when goals from captain Wes Morgan and David Nugent put them 2-0 up before half-time.
However, a trialist pulled a goal back on the stroke of the interval for Walsall before Ashley Grimes equalised after 49 minutes with a smart finish at the near post.
The League One side battled hard and looked as though they would claim a creditable draw, but they could not hold out as Drinkwater produce a stunning long-range winner three minutes from time.
Morgan opened the scoring after seven minutes when he powered home a header following a corner from Marc Albrighton, with Walsall's first chance seeing Grimes almost make Ben Hamer pay for a poor clearance - but the striker was wayward.
Nugent then doubled the advantage four minutes short of the half-hour mark with an impressive strike from the corner of the box before two goals either side of the break saw Walsall draw level.
Pearson made a host of changes after the interval, including a second appearance for record signing Leonardo Ulloa.
However, it was substitute Drinkwater who took his chance to shine as the midfielder unleashed a rasping strike from distance to win it late on.
