A debut goal from Jabo Ibehre helped Colchester end their run of nine league games without a point.
Sam Mantom and James Baxendale both fired wide as Walsall dominated the game before Colchester's late show.
Ibehre calmly slotted home after Freddie Sears had closed down Ian McLoughlin to open the scoring.
Sears added a second from close range from substitute George Porter's cross to give the hosts their first points since November.
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Colchester United manager Joe Dunne told BBC Essex:
"I thought it was well deserved, especially our second-half performance. I felt we had to be very competitive today in terms of the game plan.
"It wasn't a great game, in terms of style or football. We dug in and it was a real good performance.
"It (the win) has been a long time coming.
"You feel all kinds of emotion when you lose that many games, the chairman two weeks ago talked me out of leaving. It's a great response from the players."