The match, played in the pouring rain in front of an almost sellout crowd at the 30,000-capacity Cherkizovo stadium, came just over two months after Russia had stormed to the semifinals of Euro 2008.
Russia made the early running, Roman Pavlyuchenko going close early on following some fine build up play.
However, Wales, with almost their first foray upfield, were awarded a penalty in the 19th minute when Russian captain Sergei Semak was judged to have brought down Gareth Bale.
Bale, who is Pavlyuchenko's new teammate at Tottenham Hotspur, stepped up to take the spotkick, but Igor Akinfeev in the Russian goal easily beat away his badly-placed shot away.
Five minutes later, Russia were given a penalty after Konstantin Zyrianov was bundled over by Carl Robinson in the box. Roman Pavlyuchenko stayed calm to show his new clubmate how to convert penalties, calmly chipping the ball over Wayne Hennessy in the Welsh goal.
After the goal, Russia, who had been in total command, seemed to lose something of their spark, and the second half saw Wales come more into the game.
Bale made up for his penalty miss by setting up the equalizer in the 67th minute, sprinting into the box to level for Joe Ledley to slot home.
A shock looked on the cards, but Russia's Dutch coach Guus Hiddink again showed a knack for timely and effective substitutions, bringing on Pavel Pogrebnyak in the 77th minute.
With two upfront, Russia showed more attacking verve and Andrey Arshavin danced into the Welsh box in the 81st minute and floated in a cross for Zyrianov, who headed powerfully for goal. The outstanding Hennessy clawed away the header, but could do nothing about Pogrebnyak's follow up shot.
Russia could have had a third in the dying minutes, with Hennessy pawing away a stinging shot from Pavlyuchenko, but in truth a defeat by more than one goal would have been harsh on brave Welsh team.
Apart from Wales, Russia face Germany, Azerbaijan, Finland, and Lichtenstein in their Group Four qualifying group. The side's next match is away to Germany on October 11. They then follow this with a home game against Finland on October 15.
There are nine groups in total in the European zone. The first placed team in each group earns an automatic place at the 2010 World Cup, while the best eight second-placed teams will play off against each other. The 2010 World Cup is to take place in South Africa, the first time the competition has been awarded to an African country.
"We have to beat Wales and the Finns and try to take points off Germany," said Dinar Bilyaletdinov, the Russian midfielder whose surname caused commentators untold trouble at Euro 2008, before the match. The first part of his plan was fulfilled on Wednesday.
