Goals 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."