After only 2 minutes Walsall's Tommy Mooney thought he had scored, but his goal was disallowed for offside.
But after 12 minutes Walsall had scored with a free kick on the edge of the box which was taken by Lee Holmes who was once on loan at the County Ground.
Simon Cox came close for Swindon in the first half, but apart from that Swindon never really looked in the game.
On 56 minutes Lee Holmes made it 2-0 with a rebound after Phil Smith had been unable to hold the first ball.
Then at the start of stoppage time Walsall put the game beyond any doubt with a 3rd goal which was first saved by Phil Smith, but then with Smith still on the floor Nicholls was able to score into the empty net.
Overall a very poor game from Swindon, who never looked like they would get anything from the game. Swindon now travel to Oldham on Tuesday night in a rearranged game which should have been played last October.