Ramires, Loic Remy and Kenedy, on his full debut, put the visitors in control before Pedro’s late strike secured a comfortable 4-1 win.
The competitive Saddlers pulled a goal back through James O’Connor before half-time but they could not cope with Chelsea’s power as the holders cruised into the fourth round.
Chelsea were occasionally tested by their Sky Bet League One hosts but the recalled John Terry, among eight changes for the visitors, and Jose Mourinho avoided the Banks’s banana skin.
Chelsea dominated from the start, with Ruben Loftus-Cheek also seeing a shot blocked, before taking an inevitable early lead on 10 minutes.
Walsall were their own worst enemies, though, as they contrived to gift Chelsea the opening when Etheridge’s sloppy pass left Paul Downing in trouble and he was robbed by Kenedy.
The 19-year-old then had time to cross from the left for the unmarked Ramires to head in at the far post.
Chelsea were in no mood to let the Saddlers off lightly, with Falcao’s movement and Ramires’ drive causing problems and the duo combined after 20 minutes. Ramires slipped Falcao through, and when Etheridge got a touch on his low shot, O’Connor hacked it off the line.
The Monaco loanee was making his first start for Chelsea and dominated O’Connor, with his touch and awareness too sharp.
But just as O’Connor struggled Branislav Ivanovic had his moments against the impressive Romaine Sawyers and former Chelsea forward Milan Lalkovic, who counts Nemanja Matic among his close friends.
The Saddlers had gradually grabbed a foothold following their sloppy start and Lalkovic fired wide after tricking his way past Ivanovic on 26 minutes while Sawyers’ marauding made life difficult for Chelsea’s right back.
Mourinho’s men, though, seemingly eased any concerns ahead of half-time as they doubled their lead four minutes before the break. Again it was Ramires at the heart of the move as his slipped in Remy on the right and the forward’s first-time effort flew past Etheridge.
Yet Walsall handed themselves a lifeline in first-half injury time when Asmir Begovic parried Lalkovic’s 30-yard free-kick and O’Connor’s follow up crawled across the line.
It raised the decibel level at the Banks’s Stadium but they were silenced seven minutes after the re-start when Chelsea regained their two-goal lead.
The hosts were surprisingly subdued and paid the price when Loftus-Cheek threaded a delightful throughball for Kenedy to lash in from 10 yards.
And substitute Pedro wrapped up the game for Chelsea in stoppage time when he drilled in from the edge of the box.
- Celtic began their defence of the Scottish League Cup with an insipid 2-0 third-round win over Raith Rovers at Parkhead.
Etheridge, Demetriou, Downing, O’Connor, Henry, Chambers (Flanagan 73), Mantom, Morris, Sawyers, Lalkovic (Forde 73), Cook (Baxendale 86).
Begovic, Ivanovic, Terry, Cahill, Baba, Mikel, Loftus-Cheek (Matic 72), Ramires, Kenedy (Pedro 70), Remy, Falcao (Djilobodji 90).
Lee Mason (Lancashire).