Gaols from Andy Williams and Simon Ferry looked to have set MacDonald on course for victory in his first home game in charge of the Robins. But Jamie Paterson's dramatic last-gasp leveller following Will Grigg's first-half penalty maintained the Saddlers' blistering form.
MacDonald said: "I am a bit disappointed as we conceded late on but we played some decent football at times. Walsall will say they deserved a point but although the penalty was a bit harsh, I need to see it again. When we scored we should have taken it on."
MacDonald also revealed he is planning to add some new signings to strengthen Swindon's bid for a top-two finish. He said: "This is a good side who work hard and we have had our eye on one or two players and may be able to bring them in. Our transfer embargo will be lifted next week."
Swindon got off to the perfect start when striker Williams opened the scoring after just 11 minutes, his shot looping off Walsall captain Andy Butler as the defender tried to block, wrong-footing goalkeeper Aaron McCarey.
The Saddlers were gifted the chance to level after Febian Brandy was tripped by Lee Miller and Grigg coolly slotted home the resulting spot-kick for his 17th goal of the season.
Swindon retook the lead 11 minutes from time when Adam Rooney's shot was spilt by McCarey, allowing Ferry to tap in the rebound. But Paterson rescued a point late on by bundling an Ashley Hemmings cross past Swindon goalkeeper Wes Foderingham at the far post.
Walsall had won 10 of their previous 14 games going into the encounter and the point extends their current unbeaten run to seven games.
Manager Dean Smith said: "A draw was a fair result. We were better in the first half but they were better in the second. We dropped deep and let them take control. We scored two good goals and might have had a second penalty when our player was pulled back at the far post.
"There wasn't much between the sides and we have come back twice against a very good side. The result shows how far we have come. Although we are disappointed with the goal we conceded."