Goals from Walsall's Tom Bradshaw and Milan Lalkovic handed City their first defeat in eleven matches at a wet and windy Banks's Stadium. The goals were also the first Ben Williams had conceded for the Bantams in over seven games.
Bradshaw's opener for Walsall came during a bright start to the contest for the hosts but Parkinson's men slowly grew into the contest.
The Bantams continued to improve after the break and deservedly levelled things up when Lee Evans volleyed in from outside the box.
Although most of the scoring chances were coming in the Walsall's penalty box by this stage, the Saddlers managed to reclaim the lead later in the half when Lalkovic fired past Williams from just inside the box.
City threw everything they could at Walsall in the closing stages to try and find a second equaliser but they couldn't engineer another breakthrough, despite substitute Devante Cole having a penalty appeal turned when his shot seemed to be blocked by an arm in the box in injury time.
Reflecting on the game, Parkinson said: "We started the game slowly and gave possession away too much against a good side.
"After that period of twenty minutes or so, we started to come into it and we showed a little bit more quality on the ball.
"We were terrific in the second half, pinned them in for long periods. We had some good chances and got some great crosses in.
"If we were going to lose our unbeaten run today (Saturday), there is a way to do it. We threw absolutely everything we could at them in the second period.
"I think we can count ourselves very unlucky not to have claimed at least something from this game.
"We perhaps sat back a bit when we scored when should have probably used it as a springboard to go on and win the game. We've then had another go at them when they got back in front.
"At 1-1, there should have only been one winner, and it should have been us.
"But when you come away from home and have the attempts we've had, we can't ask for a great deal more.
"Even in the first period when we didn't play our best, we still had two great chances with a (James) Hanson header and Evo's (Lee Evans) shot and we restricted them to little.
"We just felt at half-time that there was more to come from us, and there was.
"There is a feeling of a bit of injustice but we move on and now turn our attentions to Chesham United in the FA Cup next Sunday.
"It is horrible to lose - the lads are very disappointed - but we've had a great run and the league remains very tight."