Harry Wilson gave Wales a surprise 10th-minute lead in their opening Group E match at Den Dreef in Leuven but top-ranked Belgium came from behind to win with goals from Kevin De Bruyne, Thorgan Hazard and Romelu Lukaku.
It continued the dominant performances in qualifying competition for Belgium, who won all 10 group games in their 2020 European Championship preliminaries and nine of 10 in the qualifiers for the last World Cup in Russia, where they reached the semi-finals.
De Bruyne equalised with a shot from outside the penalty area in the 22nd minute and Hazard headed Belgium into the lead six minutes later. Lukaku added a 73rd-minute penalty to extend his goalscoring record for his country to 58 goals.
Wales made an impressive start with a flowing passing move, in which captain Gareth Bale proved key with two quick one-two passes before Wilson finished with a side-footed shot into the corner.
But they lost the experienced Joe Allen to an injury and were soon forced onto the back foot as the hosts imposed themselves on the game.
De Bruyne, key in conducting the attack in the absence of injured skipper Eden Hazard, was given too much time and space on the edge of the Welsh area to fire home his right-footed shot for the equaliser.
Hazard's 28th-minute goal came with good fortune as Wales defender Connor Roberts slipped at the vital moment to allow the Bundesliga-based winger a free header at the back post from Thomas Meunier's cross.
Chris Mepham's wild challenge on Dries Mertens ended Welsh hopes of a second-half comeback as he gave away the penalty which Lukaku converted.