Chesterfield assistant manager Danny Webb told BBC Radio Sheffield:
"They played their style better than we played ours. We weren't quite on it.
"I'm disappointed that we didn't give something for the crowd to get excited about but it would have felt a lot worse if they had gone and got a third.
"At 2-0 at half-time in front of 9-10,000 people we could have buckled and the players didn't. They stuck with it.
"We'll all give it the cliche that it's only half-time in the tie and we have to stick to that. We knew if we were 2-0 up today that if Walsall got the first goal after one minute in the next game then we're under pressure, same with them.
"A lot of the Walsall fans think they're there so let them think that. We have to go there and prove them wrong."
Walsall boss Mat Sadler told BBC WM:
"I thought we played well. We started a bit edgy but we grew into the game.
"There were some really good performances so I have to be pleased with that, but it's nothing yet because there's half of the game to go.
"The group never gives up and never feels sorry for itself. We're fighters and I thought that was a fighting performance from us today.
"I'm so pleased for Alfie [Chang]. I knew when we signed him where he was at with his recovery and we're seeing the benefits of him being fit now."