The Mariners were beaten at home as a strong second-half performance by Walsall saw them take all three points at Blundell Park.
Town were on the front foot for much of the first half and created the better chances but were unable to find a breakthrough and were made to pay as their opponents stepped up after the break.
Former Grimsby loanee Jamille Matt opened the scoring and a superb volley from Jamie Jellis put Walsall in control, then Nathan Lowe made it 3-0.
Substitute Donovan Wilson pulled one goal back but any faint hopes of a comeback were brought to an end when Danny Johnson added a fourth for the visitors in stoppage time.
Harvey Rodgers replaced Doug Tharme in the only change to the Grimsby starting XI after last week’s away victory at Salford City.
Jackson Smith played in goal against his former club, while Lewis Cass, Rodgers, Cameron McJannet and Denver Hume formed the defence. George McEachran and Evan Khouri sat behind Jason Svanthorsson, Luca Barrington and Cameron Gardner in midfield, as Danny Rose led the attack.
Tharme was named on the bench, alongside Seb Auton, Matty Carson, Justin Obikwu, Callum Ainley, Tyrell Warren and Wilson.
Walsall arrived in Cleethorpes just a point ahead of the Mariners in the Sky Bet League Two table but five places higher, with Mat Sadler’s men fourth at kick-off.
Matt was likely to provide a major threat, while another former Town loanee in Brandon Comley was among the substitutes.
The Mariners began the game on the attack and they won the first corner on 10 minutes when a Hume cross was blocked. Hume’s far-post delivery from the left was cleared.
Walsall’s first corner followed three minutes later but it was cleared by Cass, before Connor Barrett sent a cross-shot just wide of the far post.
Rose almost had an opportunity when he ran onto a long ball from Smith but goalkeeper Tommy Simkin rushed off his line to get to it first.
A chipped Barrington cross beat everybody and dropped out for a goal kick as the hosts continued to attack, then Rose was denied by a great save from Simkin after a through-ball from McEachran at the end of an excellent move.
Khouri won a corner on 21 minutes and it led to another on the opposite, right flank as the pressure built on the Walsall goal. Matt was first to Hume’s delivery though and the visitors cleared their lines.
Barrington tried his luck from 25 yards but Simkin was equal to the shot, before the away side’s next opportunity to put pressure on the Town goal came with a free kick given for a foul on Barrett by McEachran, who was booked. Taylor Allen’s ball into the box was headed on but eventually went out for a goal kick.
A stoppage came for Khouri to receive treatment after going down but the midfielder was passed fit to play on and the game continued, with both sides still looking to make a breakthrough before half-time.
A Hume free kick from the right was cleared, before a good block by McJannet denied Matt at the other end and got the ball away for a corner. Allen’s delivery from the flag was headed wide at the far post for a goal kick.
Four added minutes were played at the end of the first half and Walsall had the ball in the net when a pull-back from Barrett was turned past Smith, although the referee had already spotted an infringement and blew for a Town free kick.
Matt could only find the gloves of Smith after linking up with Lowe as the away side finished the half strongly, although neither side had been able to find a way through and the game remained goalless at the break.
SECOND HALF
No changes were made before the restart and Town had the first chance of the second half when a Hume cross from the left fell for Rodgers but he could not direct his header towards goal. Svanthorsson won the next header but Walsall eventually cleared.
Hume was narrowly off-target from distance moments later after Barrington opted not to shoot, then a cross from Liam Gordon at the other end went out for a goal kick as Walsall aimed to cause problems of their own.
And with 55 minutes on the clock, the deadlock was broken by the away side, when a cross from Barrett on the right was met by Matt and he headed past Smith.
Rose headed clear from a long throw by Harry Williams, before Charlie Lakin beat the Town offside trap to race into the box but when he pulled the ball back, it was blocked for a corner.
Jack Earing replaced Lakin in Walsall’s first substitution, then Smith punched clear from an Allen free kick as the visitors continued to make the running.
Lowe fired over the bar from the away side’s next chance but they were firmly on top and with 69 minutes on the clock, they made it 2-0. A loose pass from Cass fell for Jellis and he unleashed a brilliant volley from 25 yards which flew past Smith and into the top corner of the net.
Ainley replaced McEachran in Town’s first change after the goal but Walsall were looking for more goals and a strike from Jellis took a deflection for a corner.
That one was dealt with but Walsall’s next corner brought their third goal, as the ball fell for LOWE to tap into the net from close range.
Tharme and Wilson replaced Rodgers and Gardner as Town responded with a double-substitution but the away side kept coming forward and another corner was cleared.
Albert Adomah replaced Matt in the Walsall attack with 11 minutes to go, with Carson and Warren following him onto the pitch in the black and white of the Mariners three minutes later as Svanthorsson and Barrington made way.
George Hall, Johnson and Comley replaced Jellis, Lowe and Ryan Stirk in Walsall’s final changes, before Town pulled a goal back with three minutes to go. Keeper Simkin appealed for a foul but Wilson was allowed to continue and he tapped the ball into the empty net.
But any hopes of a dramatic comeback were put to an end as the game moved into five added minutes, as Adomah managed to keep the ball in and pull it back across the six-yard line, where Johnson was waiting to finish from close range.
That sealed a big win for Walsall on a disappointing afternoon for Town, who must now pick themselves up ahead of Tuesday’s trip to Tranmere Rovers.
Town: Smith, Cass, Rodgers (Tharme, 76), McJannet, Hume, McEachran (Ainley, 70), Khouri, Svanthorsson (Warren, 84), Barrington (Carson, 84), Gardner (Wilson, 76), Rose
Subs not used: Auton, Obikwu
Attendance brought to you by Elegant Beds: 5,984