Wales’ Rainbow Wall, a group of LGBTQ+ supporters, said male supporters wearing the hats were allowed to keep them but the items were taken from women.
Ex-Wales footballer Laura McAllister, a gay woman and past Fifa Council candidate, was asked to remove her "rainbow wall" bucket hat as she entered a World Cup stadium in Qatar before the start of Wales' opener against the USA.
She took to social media, writing on Twitter: "So, despite fine words from FIFA World Cup before event, Cymru rainbow bucket hats confiscated at stadium, mine included.
"I had a conversation about this with stewards - we have video evidence.
"This World Cup 2022 just gets better but we will continue stand up for our values."
Wales' Rainbow Wall wrote on Twitter: "Our rainbow bucket hat. We are so proud of them, but news on the ground tonight is our welsh female supporters wearing them in Qatar are having them taken off them, not the men, just women.
"Fifa are you serious !! LGBTQRights."
It came just hours after England and Wales, along with other European nations, confirmed they would not be wearing the anti-discrimination OneLove rainbow armbands after governing body FIFA threatened sporting sanctions.
The day also saw Iranian supporters jeer and boo their own national anthem amid protests against the regime back home.
An Iranian flag with “women, life, freedom” was raised in the Khalifa International Stadium in support of the anti-government protests, which were sparked by the death of 22-year-old Mahsa Amini after she allegedly did not adhere to the country’s strict Islamic dress code.
A US supporter also claimed that he was held by security for 25 minutes and asked to change his shirt which had the rainbow flag on it.
He tweeted: “Security guard refusing to let me into the stadium for USA-Wales. You have to change your shirt. It’s not allowed.”