It will be Wheatley's first loan in senior football.
He told Walsall's website: “It is my first loan so I am very excited to get going.
“The Club is currently top of the league so I am coming into a winning environment and I am looking forward to that and hopefully we can kick on for the rest of the season and I can help the team to do good things.
“I had interest from other places but they didn’t have as many games left in the season and a big thing for me is earning game time and trying to play as much as possible in the men's game and hopefully I can do that and stamp my mark and impress.
“Manchester United set us up for work experience loans previously where we would go to different clubs for a week at a time so I have had a fair few experiences of being round a first team environment now so I am looking forward to settling into this one and hopefully doing well.”
Saddlers boss Mat Sadler also said: “I have known Ethan for some time and he is a player that I have admired for some time as well.
“He is very quick, he’s a big lad and he wants to score goals so he is someone that I am really looking forward to working with on his first loan and I am looking forward to being part of his development.
“He is exactly our type of player, he’s an incredible athlete and he’s the type of player that we like working with and developing.
“We have had to remain patient for this one, we have had to wait to get him in and I am delighted that he is here.
“I want to thank everyone at Manchester United for allowing us to be part of the development of Ethan and I am looking forward to seeing him for the remainder of the season with us here.”