It was Walsall who threatened first when Chris Shuker, on loan from Manchester City burst into the danger area only for his low shot to be turned away by Mike Pollitt's save diving low to his right.
Immediately though Rotherham bounced back with a strike from Alan Lee well held by Walker.
On the break Walsall, well organised at the back and busy in midfield, looked dangerous.
Another chance came their way when Martin O'Connor snapped up a shot from outside the box but it ran wide as Pollitt went scampering to his left.
But on the 19th minute the home side almost broke the deadlock when a long ball forward from Pollitt bounced over the defence and striker Darren Byfield lashed a dipping shot but Walker reacted with a fine finger-tip save to turn it over the top.
And when Lee worked out wide to the left in the 28th minute his curling ball into the area looped onto the bar and bounced out.
Seconds before half time Lee had another opportunity to give the home side the edge. Chris Sedgwick burst down the right and swung in a deep cross but Lee's header was headed off the line by Carl Robinson.
Rotherham stepped up the pace in the second half and created a string of chances.
Walsall half cleared the ball and Paul Warne seized the chance looping a clever lob to beat Walker but it struck the bar and bounced out.
And after a Marvin Bryan throw-in Martin McIntosh, in excellent form at the back for Rotherham, headed, Chris Swailes nodded on and Byfield volleyed over.
And after 67 minutes Walker made another brilliant reaction save when Swailes produced a clever header from another corner.
Rotherham boss Ronnie Moore added more firepower bringing on an additional striker Richie Barker with 20 minutes to go, sacrificing winger Sedgwick.
And in the dying minutes Walker crowned his performance with another fine save when Lee forced his way through two tackles and stabbed the ball through a crowd, only for Walker dropped sharply to save his side again.