Zsolt Haraszti's last-gasp goal for Hungary Under-21s denied Brian Flynn's Wales a morale-boosting friendly draw ahead of their Euro qualifier.
Midfielder Benjamin Balazs gave Hungary an early lead in Haverfordwest, before Swansea City's Lee Lucas levelled just before the half-time interval.
But Haraszti scored the late winner against a very young Welsh side.
Wales' next fixture is their European Championship qualifier away to Montenegro in Podgorica on 6 September.
Chris Maxwell (Wrexham), Daniel Alfei (Swansea City, capt), Kieron Freeman (Nottingham Forest), Lee Lucas (Swansea City), David Stephens (Hibernian), Troy Brown (Rotherham United), Jake Taylor (Reading), Jake Howells (Luton Town), Richard Peniket (Fulham), Billy Bodin (Swindon Town), Jonathan Williams (Crystal Palace).
Subs: Rhys Taylor (Chelsea), Tom Bender (Colchester United), Joe Walsh (Swansea City), Elliott Hewitt (Macclesfield Town), Reece Jones (AFC Wimbledon), Casey Thomas (Swansea City), Robert Ogleby (Heart of Midlothian).