The 22-year-old played in 51 games last season for the Saddlers, who suffered a 6-1 aggregate defeat by Barnsley in the League One play-off semi-finals.
He becomes Alan Stubbs' first signing being named Millers boss on 1 June.
Former Republic of Ireland Under-21 international Forde joined Walsall from Wolves in 2014, and has also previously played for Scunthorpe United.
Meanwhile, Stubbs' former assistant at Hibernian, Andy Holden, has joined Rotherham as first-team coach.
Find all the latest football transfers on our dedicated page.
Championship side Rotherham have signed Walsall winger Anthony Forde on a three-year deal for an undisclosed fee.