Shell-shocked Albion were ripped apart by Merson-inspired Walsall who set the seal on their success with further goals from striker Jorge Leitao and Steve Corica.
Albion, who grabbed a consolation through Jason Koumas 20 minutes from time, will now hope that history will repeat itself.
Two seasons ago they lost their opening game at Walsall 2-1 but went on to win automatic promotion.
Walsall manager Colin Lee was delighted with the success and he said: "I have got to say I am a bit surprised with the result.
"I know we have some good players, but this was a day when everything went right.
"Hopefully we can have more days like this. I am all about winning and I can't describe how I feel at the moment."
Merson showed his class to fire Walsall into an 18th minute lead with a stunning volley from 16 yards after he had been picked out by a cross from Corica.
Albion should have quickly forced their way back onto level terms but their new £1million striker Rob Hulse wasted a golden chance when he headed into the side netting from just five yards.
It was to prove to be a costly miss and, with goalkeeper James Walker also denying the Albion midfielder James O'Connor, Walsall took a stranglehold on affairs.
Merson left goalkeeper Russell Hoult grasping at fresh air for a second time after 39 minutes when he fired home a 20-yard drive after Albion central defender Joost Bolmer had failed to fully clear a cross from Zigor Aranalde.
Albion's resistance wilted after Merson's second strike and Walsall took a complete stranglehold on affairs in first-half stoppage time when Leitao scored their third.
Simon Osborn was allowed to race clear from midfield by the Albion defence and saw his 18-yard drive beat Hoult only to crash off the post.
Despite being off balance, Leitao was still able to steer the ball into the empty net.
Albion's misery was compounded 13 minutes into the second half when Wrack and Vinny Samways combined to release Corica who curled Walsall's fourth beyond the stranded Hoult from 20 yards.
Koumas, the pick of a poor Albion team, earned some reward for his efforts after 70 minutes when his 20-yard drive deflected past Walker by Samways.