A goal-of-the-season contender from Kenwyne Jones as well as a penalty from Steve MacLean and an own goal gave Wednesday victory although they looked shaky towards the end of the game.
The Owls looked more comfortable at 2-1 up than what they did at 3-1 up, The Saddlers battled back but were unable to grab an equaliser.
Sturrock admitted: “We’re a very young team and we ran out of legs again today. A lot of the nervous tension from the disappointing results at home definitely took its toll on the younger players.
“My disappointment is that some of the older ones don’t carry the can at the right time. They don’t really show their experience and help the younger ones out.”
The Owls boss also believes he has never been as scared as a manager when his team are leading a game since becoming manager at S6 – try sitting on the kop with the rest of us then, Paul!