The Bantams are seven points off the pace of the automatic promotion places after their second successive draw and third league game without a win.
Jordy Hiwula-Mayifuila levelled four minutes after Isaiah Osbourne opened the scoring.
“We are naturally frustrated and disappointed that we’ve not come away with the three points,” admitted McCall. “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 certainly had enough attempts on goal, we perhaps just lacked that final little bit of quality in the vital moment. We missed two or three really good chances.”
Much to his disbelief Mark Marshall saw his point-blank effort tipped over by Neil Etheridge early on.
Etheridge made a handful of top stops either side of the interval with the pick of the bunch coming as he kept out Josh Cullen’s strike from outside the area at full stretch.
The Bantams were made to pay as Osbourne fired past Colin Doyle in the 49th minute.
Four minutes later and parity was restored as Hiwula-Mayifuila beat Etheridge at the second attempt after he parried his initial effort back into his path.
Both sides had decent chances to steal the points.
Walsall: Etheridge, McCarthy, O’Connor, Preston, Laird, Osbourne, Chambers, Edwards, Cuvelier (Moussa 68), Jackson (Makris 79), Bakayoko (Oztumer 84). Unused substitutes: Toner, Dobson, MacGillivery, Ginnelly.
Bradford City: Doyle, Darby (McNulty 45), Knight-Percival, Vincelot, Meredith, Cullen, Law, Dieng, Marshall, Hanson, Hiwula-Mayifuila (Vuckic 68). Unused substitutes: Sattelmaier, Kilgallon, McMahon, McArdle, Morais.
Referee: B Toner (Lancashire).