He caught the eye of the West Midlands side after making his first team debut for the Foxes in their 1-0 Capital One Cup defeat to Shrewsbury Town in August.
Cain most recently played 90 minutes for the Saddlers in their 0-0 League 1 draw with high-flying Peterborough United at the Banks’s Stadium and has enjoyed two league victories in a red shirt, helping his side away from the drop-zone and up to 16th.
Walsall boss Dean Smith told the Express and Star: “I think he has been excellent. He has put in some really good performances for a young lad with his first taste of senior football. “What we felt when we saw him a few times for Leicester was right. He has done really well.”
Smith’s side face Shrewsbury Town in a testing FA Cup first round replay on Tuesday before returning to league action against Fleetwood Town four days later.