Rovers defender Aaron Taylor-Sinclair hit the top of the bar while Paul Downing headed against the woodwork for the Saddlers, both coming from corners.
Sam Manton beat two challenges to slam in Walsall's opener before Andy Taylor doubled the lead with a deflected shot.
An excellent curling effort from substitute Liam Mandeville gave Rovers hope but the visitors held firm.
On his return to Doncaster, the three points for Walsall boss Sean O'Driscoll takes his side to within a point of leaders Burton Albion.
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Walsall head coach Sean O'Driscoll told BBC WM 95.6:
"We got anxious in the first half and I said to them 'I know you want to get the three points but don't get too anxious with things, it'll come'.
"So half-time was really good for us. We wanted to make their back four defend a little bit more.
"Second half we did that and we were quite comfortable. Even at 0-0 I thought we were quite comfortable. To go 2-0 up was great."
Walsall scored two goals in four minutes to defeat Doncaster and climb back into second place in League One.