The scoreline flattered the visitors at Cardiff's Millennium Stadium, who are still neck and neck with Germany at the top of qualifying Group Four.
Wales had plenty of impressive displays, young Aaron Ramsey, goalscorer James Collins and Brian Stock on his debut.
But despite some well-planned play early on, Wales were behind at the break after Andrey Arshavin created a fine goal for Igor Semshov.
Collins equalised for the Welsh soon after the break, but a free-kick from Sergei Ignashevich and late goal from substitute Roman Pavlyuchenko settled the issue.
Wales gave a debut to Doncaster midfielder Stock, while manager John Toshack - on his 50th full international in charge - went for five at the back with Danny Gabbidon playing his first game at the Millennium Stadium in almost two years due to injury.
Russia had Arshavin in midfield after the Arsenal man had recovered from a groin injury, and he had a constant impact on the game.
Wales, however, had started with a surprisingly fluid formation, with Aaron Ramsey supporting Craig Bellamy up front with David Edwards making runs from deep.
Their triangle certainly surprised the Russians, as did Collins - who was not slow to venture forward.
Stock looked composed from the start and had the first chance after six minutes when a poor clearance dropped for him 25 yards out - his rising drive flashing past Igor Akinfeev's right-hand post.
Toshack had been critical in Wales' last match in Montenegro of the lack of adventure from his full-backs. Not this time, though.
Sam Ricketts was a constant threat on the right, and his first-time cross on the run was nodded down by Stock for Edwards, with Akinfeev scooping the ball off the Wolves man's toes.
Edwards went close again with a diving header from another Ricketts cross, before Arshavin's ball for Vladimir Bystrov produced a near-post shot which Gabbidon almost turned into his own net.
Alexander Kerzhakov fired in an angled 20-yard effort which Wayne Hennessey turned away at full stretch, before Bellamy lifted a cross into the box for Joe Ledley to produce a header that was pulled down by Akinfeev.
But Wales found themselves behind after 36 minutes when they were cut open by the brilliance of Arshavin. His instinctive turn and pass picked out Semshov's run, the Dynamo Moscow man having managed to lose Stock before firing an angled shot into the far corner.
Arshavin almost created a second four minutes later when his low cross was lifted over the top from six yards by Kerzhakov.
There was still plenty of fight in the Welsh side, and Bellamy started the second period with a couple of high-speed runs which caused danger in the box.
And from one such run, Bellamy earned a corner from which Wales levelled the score.
It came on 54 minutes with Ramsey firing the corner into the near post for Collins to force past Akinfeev for his second goal for his country.
Alexander Anyukov was booked a minute later for a foul on Bellamy, then Chris Gunter shot wide from 20 yards.
Akinfeev dropped a corner and Ledley set up Ramsey for a shot which flashed wide, with Russia badly exposed.
More good work by Bellamy saw Ramsey force his way into the box for two efforts which almost put Wales ahead, Semak eventually clearing the danger with an overhead clearance under his own bar.
Russia sent on Tottenham striker Pavlyuchenko for Semshov after 70 minutes, and two minutes later they regained the lead.
Kerzhakov went down for what looked a soft free-kick against Gabbidon a yard outside the box, and Ignashevich drove the free-kick straight through the wall and past Hennessey.
Wales immediately replaced Gabbidon with an extra striker in Sam Vokes.
But Pavlyuchenko almost made it three with a dipping drive that crashed against Hennessey's bar.
Russia sent on Alexei Rebko for Kerzhakov with seven minutes left, with Wales still battling away for an equaliser.
Gunter was booked for taking a free-kick too quickly in the closing minutes, before Pavlyuchenko's last-minute strike - following poor play in defence from the hosts - gave the scoreline a flattering look.
Wales - who long ago had conceded any realistic chance of qualifying for the finals - now know it is mathematically impossible.