Robert Page’s side scored one just goal in Qatar as they finished bottom of a group also containing England, Iran and the United States.
Here we look at how Wales’ sorry campaign unfolded.
Wales 1-1 United States
Wales had not been on the World Cup finals stage since Pele settled a 1958 quarter-final in Brazil’s favour.
It was a flat first-half show from Wales as the USA dominated and Timothy Weah’s clinical 36th-minute strike was the least the Americans deserved.
The half-time introduction of Kieffer Moore sparked Wales, who were far better after the break.
Wales won a point when Gareth Bale was brought down eight minutes from time and the captain got up to smash home his 41st international goal.
Wales 0-2 Iran
Wales’ World Cup came crashing down as Iran recovered from their opening 6-2 mauling to England.
Iran dominated and had a goal disallowed and twice hit a post before a dramatic finale at the Ahmad Bin Ali Stadium.
Goalkeeper Wayne Hennessey was sent off four minutes from time after rushing from his box and clattering into Iran forward Mehdi Taremi.
Wales were left clinging on for a point, but Rouzbeh Cheshmi struck a beauty from 20 yards in the eighth minute of stoppage time and Ramin Rezaeian immediately rubbed salt into Welsh wounds.
Wales 0-3 England
Wales needed to beat England for the first time in 38 years to stand any chance of making the knockout phase.
But Wales managed only 35 per cent possession and one shot on target as England secured a seventh straight win in the fixture.
Bale did not reappear for the second period after a scoreless first half and England soon swept into a two-goal lead through Marcus Rashford and Phil Foden.
Rashford added a third before Wales players and staff took a final bow in front of their adoring supporters.