John Toshack's young dragons produced a memorable, battling display in their Group Four qualifier and pushed the Euro 2008 semi-finalists to the limits.
What the outcome would have been had Bale scored from a first-half penalty which would have put Wales ahead no-one can say.
But even when Russia converted their own spot-kick through new Tottenham signing Roman Pavlyuchenko it did not break Wales' spirits.
They battled away in the second period until Joe Ledley swept home an equaliser with 23 minutes left.
From then on it was deep defence as Wales fought to hang onto a priceless point.
But their hearts were broken with 10 minutes left when substitute Pavel Pogrebnyak swept home the winner.
Boss Toshack, though, will see only positives from such a performance from his young side. As learning curves go, this was pretty impressive.
Sam Vokes' winner against Azerbaijan on Saturday won him a place in the starting line-up here, a daunting challenge for a young Wales side with Toshack recalling veteran Carl Robinson into midfield in place of the injured Jason Koumas.
Otherwise Wales stuck with the side that beat Azerbaijan, while Russia - in their first competitive home match since reaching the Euro 2008 semi-finals - fielded both Andrei Arshavin and Pavlyuchenko.
This was 18 year-old Vokes' first first full cap and it could hardly have been more difficult as a lone front man as Robinson, now one short of his 50th appearance, was required to patrol a midfield area in which Arshavin can be so destructive.
But with a line-up containing six players still qualified to play for the Under-21s there was a real fear for Wales against some of Europe's very best players.
From the start Wales defended 10 yards inside their own half, conceding possession and looking to run themselves ragged for the cause.
But there was instantly a flow, even swagger, about Russia as the ball sped from flank to flank.
Wayne Hennessey's first save was a fine point-blank effort to block Pavlyuchenko's fierce effort after 14 minutes.
Amazingly the first time Wales got into Russia's penalty area they were gifted the chance to take the lead in the 15th minute.
Bale was tripped by Russia captain Sergei Semak but for the second successive match Wales missed a penalty.
The Spurs left-back took the kick himself but Igor Akinfeev flung himself to his right to palm the effort round the post.
And Wales were made to pay as in the 23rd minute when Robinson, who had been booked for an earlier foul, was penalised again but with more severe consequences.
Yuri Zhirkov leapt theatrically after feeling the Toronto man's boot connect with him in the area.
This time there was no mistake. Up stepped Pavlyuchenko to blast the penalty past Hennessey. It was a cruel blow for Wales.
It also made the task even harder against a side with a speed of passing and control far beyond anything Wales could muster, with the movement and touch of Arshavin particularly impressive.
Wales replaced Robinson at the break, sending on Sam Ricketts at left-back with Bale pushed forward into midfield.
Just two minutes into the second half Ashley Williams was booked for a trip as Wales were instantly put under pressure again.
Pavlyuchenko saw a 20-yard strike deflect wide off Craig Morgan but Wales, by this point, were bravely trying to come forward now.
David Edwards headed over from a Chris Gunter cross before Simon Davies got in on the right to shoot wide.
Wales replaced Vokes, who had worked tirelessly chasing lost causes, with Ched Evans after 62 minutes but gaps were appearing at the back as Wales pushed forward, with Arshavin heading narrowly over from Semak's cross.
However, the next goal came at the other end. Bale surged into the box on the right, got to the line and pulled the ball back for Joe Ledley to grab his second goal for his country.
Edwards was booked for a foul and Ricketts for time-wasting while Russia sent on an extra striker in Pogrebnyak for Semak.
Wrexham defender Steve Evans was sent on for Edwards to bolster the defence, becoming the first non-league player to appear for Wales since the early 1930s.
But with 10 minutes left Russia took the lead again. Arshavin crossed from the left and Hennessey made a fine save from Konstantin Zyrianov's header but Pogrebnyak drove home as the ball bounced to him.