First-half goals from former Manchester United striker Febian Brandy and Paul Downing set Walsall on their way before James Baxendale made it 3-0 shortly after the break.
Wright scored little more than a consolation for Preston in injury time with North End now winless in three games and winless at home in the league in nine.
"We're not happy. It's not nice. A performance like that, whether it's home or away, is not good enough," said Wright. "It wasn't a good afternoon for us as a team and we are not happy with it. It's got to be better.
"They've turned us over twice and it doesn't feel good at all. We've only got ourselves to blame. They are a good side but probably because we let them look a good side.
"As nice as it is getting the goal, losing 3-1 is the biggest thought in my head at the moment. We are better away from home.
"We're a great club with great fans and it's a great stadium to play in. I don't know why we're not giving that back and getting the win.
"For me, I'm just concentrating on the game. Of course you're going to hear booing. That's going to happen in football because people are going to voice opinions.
"It's not nice, but if we're playing like that and not getting the wins then it's going to happen. It's not nice getting knocked out of the cups, so the league is the priority now and we've got to get that right."
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- James Baxendale