Goals from Ben May and Gary Alexander proved to be the difference between the teams and earned a trip to Coventry in the fourth round as Richard Money's side could only reply through a deflected effort from Alex Nicholls.
Walsall had already won both the league meetings between the sides, but after their 0-0 draw in the first meeting ten days ago, Millwall were more confident and deservedly took the lead after 15 minutes.
Richard Taundry was the villain for the visitors as the full-back headed an easy clearance straight into the path of May.
The forward strolled through without a defender in sight to slot the ball past Clayton Ince for only his second of the season.
Both sides had chances to score in an open first half, but it was Millwall who doubled their lead four minutes after the break.
This time May was the provider and his reverse ball was confidently fired home across Ince by Alexander for the in-form forward's sixth goal in five games.
But their cushion only lasted ten minutes before Walsall got a massive stroke of luck as Nicholls' hopeful 20-yard strike took a wicked deflection and looped over goalkeeper Lenny Pidgeley.
Both sides pushed for another goal and Alexander nearly found it in spectacular style as his overhead kick was pushed over by Ince.
But Jackett's men held on under increasing pressure from the League One play-off hopefuls and will travel to Coventry hopeful of repeating their feats of four years ago, when they reached the final of the competition.