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The Saddlers won the match 2-0 with goals from Tevin Shakespeare (51') and Luke Delaney (59').
Striker Shakespeare was sent off on the 81st minute due to a late foul, but the Saddlers held strong to secure all three points.
The result sees the Saddlers stretch their lead at the top of the table, having gone into the match one point ahead of their opponents.
The defeat cost Rochdale second place with Tranmere, winners at Blackpool, moving ahead of them on goal difference. Preston sit one point behind them and Bury are a further point behind after they drew 0-0 against each other.