Gareth Bale hailed his team-mates but was left frustrated after a Memphis Depay goal with seconds remaining condemned Wales to a 3-2 defeat.
Bale's side appeared to have earned an unlikely point as a first-half Brennan Johnson goal and an injury-time penalty from their captain made it 2-2 after the Netherlands had gone two goals up.
However, Depay smashed home a last-gasp finish to earn the hosts all three points and keep Wales bottom of Group A4 and winless.
While Wales will be hoping to take plenty of lessons from this Nations League campaign ahead of the World Cup, Bale did not hide his frustration at being unable to secure a morale-boosting draw.
"It's hard to take but I'd rather this happen now and we address it than it happen at the World Cup," Bale told BBC Sport after the game.
"Of course we are disappointed we conceded late, but we're competing with these big teams in every game now."
Wales have now lost three of their last five matches in all competitions, while they have lost all 10 internationals against the Netherlands, conceding 29 goals in the process.
But Bale was optimistic, stating: "It's just the finer details we need to iron out. If we can do that it will put us in a good place for the World Cup."
Wales are not in action now until September, when attention will turn to trying to rescue their Nations League campaign in preparation for their first appearance at a World Cup since 1958.
Bale, meanwhile, will now have his focus on finding a club ahead of the new season.
The former Real Madrid forward laughed off the suggestion he could join Getafe, with Cardiff City having been linked with the 32-year-old.