The Irish striker, who has scored five goals since signing in October, has shaken off the knock which has kept him out of the last two games.
Connolly will partner 15-goal top scorer Rickie Lambert in attack, with Senegalese forward Papa Waigo set to drop out of the starting line-up.
Saints are still without goalkeeper Kelvin Davis with a groin injury so Bartosz Bialkowski continues to deputise.
Veteran defender Chris Perry has earned a recall in the last two games so on-loan Neal Trotman looks likely to have to settle for a place on the bench again.
Out-of-favour striker Marek Saganowski is still unavailable with a knee injury.
Jamie Vincent and Richard Taundry are the only two players unavailable to Walsall boss Chris Hutchings.
Full-back Vincent (calf) and midfielder Taundry (hamstring) returned to the training ground last week after lengthy absences and although they are progressing well, they are not yet fully match fit.
Otherwise, Hutchings has a full-strength squad at his disposal and is unlikely to make any changes to the XI that brushed aside Yeovil on Tuesday, extending the club's unbeaten league run to five games.
Victory against Saints could put the Saddlers into the top six but Hutchings is expecting nothing less than a tough test as the south-coast club make their first visit to the Banks's Stadium.
"The lads are confident and looking forward to what promises to be an entertaining encounter against a high-profile club," he said. "Southampton have spent a lot of money and have some good, experienced players in their squad.
"They have players all over the pitch that can cause problems and are sure to bring a large away following to help stimulate a good atmosphere inside the stadium. That said, had they not had that 10-point deficit they would still find themselves a point behind us."
Sporting Life