25-year-old, Newcastle born Gillespie, who joined the club following almost ten years with Carlisle United, saved two penalties as he looked to keep his side in the match against the big-spending Shakers.
Unfortunately for Gillespie he couldn't prevent Bury from scoring as former Everton striker Jermaine Beckford found the back of the net on the stroke of half-time, his goal proving enough to defeat the shot-shy Saddlers as they began their campaign with a defeat.
