Welsh Secretary Cheryl Gillan has said 2011 will be an "important" year in getting the economy back on track.
First Minister Carwyn Jones said "good teamwork" was helping Wales meet the recession.
Plaid Cymru leader Ieuan Wyn Jones said 2011 "can set Wales' course for the next decade".
Welsh Liberal Democrat leader Kirsty Williams said it was set to be an "equally momentous year".
Carwyn Jones said Wales had faced economic crises and cutbacks before, with many "having the experience of the miners' strike etched on our memories just as a previous generation recalled the trials and tribulations of the Great Depression".
But Mr Jones, in his new year message, said Wales in 2011 "has a lot going for it" and co-operation across society had been made easier by devolution.
"Now we need to carry that team approach forward, ensuring Wales has the skills and infrastructure to capitalise on the multi-million pound opportunities of the digital age," he said.
"There is an old Welsh adage, 'Mewn Undeb Mae Nerth: there is strength in unity'. Standing together, Wales and her people can put these difficult times behind us."
Mrs Gillan said the formation of a coalition government "broke the mould of Westminster politics forever".
'Tough but necessary'
She said for Wales it meant all four main parties "had a stake in the future of our country" and presented a challenge to politicians of all colours.
"It demonstrated the need for a new maturity in the way we do business with each other and for the people we serve," she said.
"In the seven months since the general election, in order to deal with the appalling economic legacy of the last government, we have had to take some tough, but necessary decisions to stabilise the economy, drive down the deficit, and give people more power in their local communities."
She said the next 12 months were "important" with a referendum on assembly powers, an assembly election and "our most important task" in creating the conditions in which the Welsh economy can improve.
Plaid Cymru leader Ieuan Wyn Jones, the deputy first minister, said the future of children's education would be at the centre of his party's priorities for the coming year, which he said could be a "defining one for our nation".
He said his party's policies going into the assembly election would "prioritise improving education as well as continuing the work of securing Wales' economic recovery".
'United in enthusiasm'
"Within a decade I want to be able to look back at how 2011 set Wales on a new course - the course of a Wales confident in our own ability to improve the lives of the people of our nation and year that we took decisive steps to further improve the educational standards that will help develop our economy and create a better society."
Ms Williams, leader of the Welsh Liberal Democrats, said 2010 has been a year of "extraordinary change in British politics with the end result that every main party is now in government".
She added:"2011 is set to be an equally momentous year in Wales. Firstly, we will have the opportunity to vote in a referendum to ensure for the first time that laws that affect only Wales are made only in Wales.
"No one party "owns" devolution but I am proud that this referendum is being delivered by the Liberal Democrats as part of the coalition agreement. The Welsh Liberal Democrats are united in our enthusiasm to go out and campaign for a "yes" vote.
"This and the referendum on changing our voting system are important parts of the UK coalition government's commitment to changing the way we do politics."
She also said the the assembly election in May will be a chance to review the record of the Welsh Government and ask why in areas like health, the economy and education, Wales is slipping further behind England