And unsurprisingly, they opened the scoring with two Brazilians combining in the form of Kenedy and Ramires, with the 28 year-old more experienced international on hand to head home past Neil Etheridge.
The League One hosts began to build up some pressure to the encouragement of the home support, and Jordan Cook came close to latching onto a cross from Jason Demetriou, before Romaine Sawyers sent a wild effort over.
But they were quickly crashed back down to earth however, as Loic Remy smashed the ball into the net in the 41st minute after latching onto a ball from Ramires.
Despite a two-goal deficit, Walsall were not going to go down without a fight, and they pulled one back through defender James O'Connnor who powered a shot past Asmir Begovic to give them a lifeline at half-time.
19-year-old summer signing Kenedy restored Chelsea's advantage two minutes into the second half, to score his first goal for the club, and put them in an assailing position.
Falcao was having a somewhat unfortunate evening in front of goal, not only being denied twice in the first half, but inadvertently making a hash of a free-kick in the 68th minute.
Pedro rounded off a comfortable night for Chelsea with a fourth goal late on, showing his class to skilfully beat a couple of defenders before burying the ball past Etheridge to safely send Jose Mourinho's men through.
2015/16 CAPITAL ONE CUP - THIRD ROUND
Report by Joe Baker
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