Mate Patkai dealt Wales' Euro 2020 qualification hopes a huge blow with a late winner for Hungary as Ryan Giggs' men lost 1-0 in Budapest, just three days after suffering a narrow defeat in Croatia.
Patkai's strike compounded a torrid evening for Gareth Bale after he missed Wales' best opportunity of the game when Tom Lawrence's cross landed at his feet 12 yards from goal, the Real Madrid forward firing tamely at Hungary goalkeeper Peter Gulacsi.
Giggs deployed Dan James as a lone striker in the first-half in Budapest and the 21-year-old outshone Bale with his incisive runs, but neither man could force a breakthrough before Patkai pounced on a loose ball after Jamie Lawrence and Ben Davies were outmuscled by Adam Szalai at a high ball.
The result leaves Wales second bottom in Group E with three points from three matches, while Hungary are top, three points clear of Slovakia, having won three of their opening four matches.
Wales lacked caution early on and were split apart by Balazs Dzsudzsak's throughball before Filip Holender slid in and missed Szalai's cross by a whisker.
James came to life after 24 minutes, weaving his way down the left flank before squaring to Tom Lawrence, who shot tamely at Gulacsi, and Wales improved thereafter.
Hungary found chances harder to come by in the second half but Dominik Szoboszlai gave Wales a scare when he chested the ball down just inside the box and sent a rocket of a shot narrowly over the crossbar.
The moment was ripe for Bale to put Wales on course for a precious win when Tom Lawrence's low cross found him unmarked in the middle of the box but he scuffed his shot into the grateful Gulasci's hands.
Wayne Hennessey had to be alert when substitute Laszlo Kleinheisler thumped a dipping 25-yard drive towards goal, the Wales keeper diving to his left to parry it clear before Allen volleyed a Botond Barath header off the line.
Hungary landed a sucker punch 10 minutes from time, Szalai controlling a cross from the left and feeding Patkai, whose shot went in off Ben Davies to leave Giggs' men empty handed at the end of a gruelling night at Groupama Arena.
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Wales return home with nothing from trips to Croatia and Hungary and must pick themselves up for a mammoth effort to qualify when their campaign recommences against Azerbaijan at home in September.
Szalai too strong
The physical battle between Jamie Lawrence and Adam Szalai was a crucial one and the Hoffenheim striker came up trumps, shrugging off his marker before Patkai's winner.
After a frustrating season at Madrid, Bale looks a long way short of his best form and was barely involved apart from his glaring miss.
Wales will hope for better when they face strugglers Azerbaijan, while Hungary have a friendly against Montenegro before playing Slovakia at home.