The lack of a win - or a goal - is weighing on manager Chris Coleman's mind ahead of their 2014 World Cup Group A qualifier against Serbia.
Wales's run of defeats under the new manager continued in their 2-0 Group A opening defeat by Belgium on Friday.
"It does weigh on your mind, I'm not going to lie to you," said Coleman.
"But we're going to score and we're going to win. Sooner or later that's going to happen. When we do it, we can march on and plough forward."
Six regulars were missing for the defeat to Belgium, while defender James Collins was sent off after just 26 minutes.
Joe Allen could return from illness to face Serbia and Coleman believes his side has plenty of talent to trouble Serbia.
"People say you're only as good as your last game or only as good as your worst game. Nonsense, that doesn't make sense," said the former Fulham manager.
"You're as good as your best game because that's the level you've shown, somehow. So that's the level you're capable of.
"The last game, I was more than happy with the players, I really was. But we've got to show that consistently for the next nine games. But forget the next nine games, let's concentrate on the next game because that's the important one."
Coleman acknowledges Belgium, Croatia and Serbia, who opened their campaign with a 0-0 draw away to Scotland, are more fancied than his side to progress from the group.
But Serbia manager Sinisa Mihajlovic is also feeling the pressure after failing to win any of his first five games in charge, managing just one goal in the process.
"People will look at Belgium, Croatia and Serbia, then they'll look at us and Scotland," said Coleman.
"It's a tough, tough group. When somebody like [England boss] Roy Hodgson says it's the group of death, you listen to that.
"We're in that group of death and people look at us as a good team.
"So everybody will be taking points off each other, I think, through the next nine games.
"What we've got to do is - because we've not scored or won for three games - we've got to put that to bed. Once we do that - and we will do it sooner or later - we can march on and look forward.
"But it's not an easy group and it's not an easy game. I watched Serbia at Hampden Park on Saturday. Scotland maybe should have nicked it at the end.
"They had a real good chance, but Serbia created chances, controlled long periods of the game like you'd expect them to because they're good with the ball."
Wales' fixture in Novi Sad is their first against Serbia, who became an independent football nation in 2006.
Goalkeepers: Jason Brown (Aberdeen), Boaz Myhill (West Bromwich Albion), Lewis Price (Crystal Palace).
Defenders: Darcy Blake (Crystal Palace), Chris Gunter (Reading), Joel Lynch (Huddersfield Town), Adam Matthews (Celtic), Sam Ricketts (Bolton Wanderers), Ashley Williams (Swansea City), Ben Davies (Swansea).
Midfielders: Joe Allen (Liverpool), David Edwards (Wolverhampton Wanderers), Andy King (Leicester City), Aaron Ramsey (Arsenal, capt), Jonathan Williams (Crystal Palace), David Vaughan (Sunderland).
Forwards: Gareth Bale (Tottenham Hotspur), Simon Church (Reading), Steve Morison (Norwich City), Hal Robson-Kanu (Reading), Sam Vokes (Burnley), Robert Earnshaw (Cardiff City).