Visiting keeper Richard O'Connell kept the Saddlers in it to the very end, denying both Donaldson and the influential Adam Forshaw in the final 15 minutes.
The keeper made reflex saves to thwart close-range efforts to deny the pair after some slick approach play on the glassy surface sodden by a pre-match downpour.
The game was overshadowed by an injury sustained by Walsall's on-loan youngster Conor McAleney, who was taken to hospital with a suspected broken leg.
"I was disappointed to come away with a defeat, but especially the manner of the goal," Smith said.
"We weathered the storm and defended a couple of balls into Donaldson, but didn't deal with this one.
"You know you will have a tough game when you come here and you have to credit Brentford for the way they defended."
Smith added: "At half-time I told them to be a bit more brave in the final third and they did that.
"We gave Brentford a right good game and a bit of a scare."
Smith insisted his disappointment at losing Will Grigg to the Bees - the striker missed the reunion with a hamstring tweak - did not play a part in his team talk.
The Saddlers boss, previously critical of the player's decision to join a League One rival, said: "I've seen him since and no, it didn't affect how we prepared for this game.
"Brentford are a good side and they have aspirations of promotion, but they know they were in a game."
Walsall, unbeaten before this clash, had their chances before the interval, but the lively Craig Westcarr and Milan Lalkovic both fired straight at home keeper David Button.
Button also came to his side's rescue late on when he bundled a Romaine Sawyers' header around the post as Brentford looked to attack on the break.
- Sports & Recreation
- Clayton Donaldson
- Adam Forshaw