In the message, Wall said there will be two shifts in the tax system.
In a video released Monday morning he said the province will have a plan to bring the budget back to balance "within three years" and foreshadows changes to taxes - including a move to consumption taxes - are in the works.
Consumption taxes are typically seen as PST and sin taxes, like the levy on cigarettes and alcohol.
The premier has already hinted that the budget may not be a balanced one.
Due to low oil and commodity prices, the province is attempting to tame a $1-billion deficit.
Wall says the budget on Wednesday will shift away from reliance on resource revenue and toward taxes to help make up the shortfall.
The government is also looking at the education portion of property taxes as well as the provincial sales tax, and wants public-sector wages and benefits cut by 3.5 per cent.