Jordy Hiwula's sixth goal of the season in the second period levelled things up for City just four minutes after Walsall midfielder Isaiah Osbourne had given the hosts the lead shortly after the interval.
With the game goalless at the break despite Mark Marshall, Josh Cullen and Hiwula forcing Walsall 'keeper Neil Etheridge into smart saves, McCall brought on attacker Marc McNulty and went to three at the back for the second period.
The change resulted in an open half, with chances coming at both ends of the pitch, but City couldn't quite build on Hiwula's goal to turn one point into all three in their final away game of the calendar year.
McCall said: "We are naturally frustrated and disappointed that we've not come away with the three points.
"We controlled large periods of the first period without looking too threatening. Having said that, their 'keeper has still had to make a couple of really good saves.
"Possession-wise, we felt we dominated the half but we just felt at half time that we needed to try something different.
"We put (Marc) Nults on and took Darbs (Stephen Darby) off. Nothing at all against how Darbs had played, just a tactical switch.
"That gave us three at the back with Tim Dieng dropping back and Romain (Vincelot) given the freedom to drive forward in the middle when possible.
"With twenty minutes to go, either side could have won it because we were open. We did everything we could to try and win the game.
"We certainly had enough attempts on goal, we perhaps just lacked that final little bit of quality in the vital moment.
"We've missed two or three really good chances.
"I suppose taking a point away from home can't be sniffed at but I would say we have been frustrated again."