Walsall started the 2015–16 season well, with Smith being named as League One Manager of the Month for August 2015 as the club ended the month at the top of the table. Walsall rejected an approach for Smith from Rotherham United in October, describing him as "fundamental to our future plans". Smith signed a new 12-month rolling contract on 16 October. He was named as Football League manager of the week after his side came from two goals down to beat Gillingham 3–2 on 24 October. However six weeks after signing his new contract he left Walsall for Brentford with the "Saddlers" fourth in the table; at the time of his departure he was the fourth longest serving manager in the Football League.