Ashley Grimes scored a rare goal to keep the Saddlers dreams of a Wembley double on track.
Walsall set up a Johnstone's Paint Trophy final clash with Bristol City when they beat Preston last week and are only five points off the play-off places.
Substitute Grimes last found the net for Rochdale in April 2013, but grabbed a scrappy equaliser in the 75th minute.
Full back Andy Taylor's free kick caused chaos in the Gillingham box and Grimes pounced to net from two yards after a snap shot from central defender Paul Downing bounced off the chest of keeper Stuart Nelson.
Frustrated Walsall manager Dean Smith admitted: "I'm disappointed a wee bit. We were well on top in the first half and then it got sloppy. You have to credit their keeper though. We worked him."
Bradley Dack had opened the scoring six minutes earlier as the Gills made a rare venture forward.
Central defender John Egan picked Dack out with a long ball forward and the midfielder raced into the area before nutmegging keeper Richard O'Donnell for his sixth goal of the campaign.
Gillingham are now unbeaten in three league games under caretaker boss Andy Hessenthaler and assistant Darren Hare said: "Good runs are all about self belief and confidence. We now have a very noisy dressing room. The players have worked hard recently and deserve a lot of credit."
Nelson had to stay alert in the first fifteen minutes to keep out long range efforts from strikers Romaine Sawyers and Tom Bradshaw and a curling twenty yard free kick from Taylor.
In the sixteenth minute Walsall peppered Nelson's goal and he was forced to claw away a stinging shot from Taylor and gather a Bradshaw header before midfielder Josh Pritchard helped him out by clearing a twelve yard effort from midfielder Michael Cain off the line.
In the second period Walsall picked up where they left off and Nelson was forced to save from Egan after he turned winger Anthony Forde's low cross towards his own goal.
Bradshaw blew a great chance to put Walsall ahead ten minutes before Dack's winner when he scuffed a shot wide from fourteen yards with only Nelson to beat.
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