Chris Coleman's side had been on course to challenge the likes of England, Germany, Spain, Italy and France for the inaugural title in European football's third major global competition but lost out by less than 600 coefficient points.
The winners of the inaugural tournament will be decided between the winners of the four groups in League A in June 2019, with two semi-finals, a third-place play-off and a final being played.
League A includes the likes of world champions Germany, reigning European Championship winners Portugal, France and England.
If the winners of the Nations League group have already qualified via the normal route, their place will go to the next best team in their group that hasn't secured a place.
Wales have missed out on potentially money-spinning games after failing to make it into League A in the new UEFA Nations League format.
The very top sides in Europe also have a new biennial worldwide honour to compete for - the UEFA Nations League trophy; a three-match mini-tournament hosted at a single venue during June in the years between major finals.
The victor of each of the four groups will be drawn to face each other in a Euro 2020 play-off. The four group winners will be promoted to League B, with the four bottom sides relegated to League D for the 2020 edition.
Country coefficients and the recently concluded World Cup qualifying helped determine which nations would be drawn into the four different leagues - A, B, C, D.
Like League A, League B will also comprise 12 teams split into four groups of three.
League A will consist of the 12 top-ranked teams.
Each league will have its own play-off competition with single-leg semi-final and final to decide who gets the final four places.
The UEFA Nations League group games, all teams will play each other home and away, will be held over six matchdays, during the "double-headers" in September, October and November 2018.
There is also an opportunity to earn qualification to Euro 2020, as the top four-ranked League B teams who do not qualify will enter play-offs in March 2020 with one finals place on offer.
League D: Azerbaijan, Macedonia, Belarus, Georgia, Armenia, Latvia, Faroe Islands, Luxembourg, Kazakhstan, Moldova, Liechtenstein, Malta, Andorra, Kosovo, San Marino, Gibraltar.