The 20-year-old, who can play in defence and midfield, scored for West Brom against the Saddlers in a pre-season friendly in July.
Donnellan, a Republic of Ireland Under-21 international, is Walsall's sixth new arrival.
"He's a versatile player who can cover a number of positions. We're delighted to get him in," said boss Jon Whitney.
Donnellan has previously spent loan spells with Worcester City, Stevenage and Dagenham.
He will be available for Walsall's home game with Oldham Athletic on Saturday.
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League One side Walsall have signed Shaun Donnellan on a six-month loan deal from West Bromwich Albion.