Walsall manager Dean Smith felt his side needed more protection from some tough Stevenage tackling as they lost 3-1.
The hosts went ahead through Robin Shroot only for the Saddlers to equalise just before the hour mark when George Bowerman headed in Jamie Paterson's cross. However, Greg Tansey restored Boro's lead in spectacular fashion before Lucas Akins added a late third.
Smith said: "It is a defeat but there were positives out there - we tried to play in the right way.
"We could have done with a little more protection at times from the officials but you have to get on with it and we have to face that sometimes against physical teams. We played against a front-foot team who like to get their tackles in and they got away with some that some referees might have pulled up.
"But we kept plugging away in the way that we want to play and we got back into the game with a good goal and I fancied us to go on from there.
"However, we became a bit sloppy in possession at times and gave it away way too cheaply, which you can't afford to do. Then their lad's pulled out a really good second goal and they ended up getting a third."