Wall says he now believes it would be easier to scrap Parliament's chamber of sober second thought than try to change it.
"I think it is time to abolish the Senate. I think it is reflective of what Canadians are saying," he said Friday at a news conference in Saskatoon.
"I don't think reform is possible. I think abolition is also difficult, but it is ... more doable than reform."
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The push for a Triple-E Senate — equal, elected and effective — goes back to the days of Preston Manning and the western-based Reform party.
Wall said it's a dream that has to be let go.
"I guess we all had hoped in Western Canada that it might be reformed — that would be the first preference. I just don't think it can be."
The Senate has been rocked recently by an expense scandal.
Senate Speaker Noel Kinsella has said the RCMP is examining the claims of senators Mac Harb, Mike Duffy and Patrick Brazeau.
Duffy left the Conservative caucus after it was revealed that the prime minister's chief of staff, Nigel Wright, wrote Duffy a $90,000 cheque to repay the senator's disallowed housing expenses. Wright resigned last weekend.
One of the senators from Wall's province also has been drawn into the controversy.
Last week, former journalist Pamela Wallin "recused" herself from the Conservative caucus over questions about her expenses.
Saskatchewan's Opposition New Democrats have pushed for abolition, but Wall's government passed a law for electing senators-in-waiting from the province, although no vote has been held.
Alberta elects potential senators and some of them have been appointed to the upper house.
Wall's change of heart was applauded by federal NDP Leader Thomas Mulcair, whose party has also been pushing for abolition.
"Great to hear," Mulcair tweeted. "Looking forward to working with him to scrap the unelected Senate."