In the opening game of the friendly eight-team tournament in Spain, the Scots went ahead with a goal from Lana Clelland but their opponents capitalised on defensive errors to hit back and claim victory through a Jess Fishlock double and a Natasha Harding strike.
Scotland went ahead four minutes into first-half stoppage-time when Clelland headed in Christy Grimshaw's cross from six yards out.
But Pedro Martinez Losa's team lost their lead immediately as Wales went straight up the park and won a penalty when Kayleigh Green was fouled by Jenna Clark. Fishlock made no mistake with the spot-kick.
The Scots should have restored their advantage five minutes after the break but Claire Emslie missed a great chance when she blazed over the bar from six yards out.
It proved a pivotal moment as Wales went ahead just three minutes later when Fishlock blasted in from close range after Harding back-heeled the ball into her path following some poor Scottish defending.
Harding completed the scoring on the hour mark when she flicked in a Green delivery from the right at the near post.
The Scots are guaranteed another two matches at the Pinatar Cup, with their next one this Saturday, as they continue their preparations for their World Cup qualifiers away to Ukraine and at home to Spain in April.