Wales battled, fought and sweated for every second of this Group Nine game but finally lost their 100% record and turned their three final matches in the qualifiers into tension-racked affairs.
They are so close, and deserved a point for this display, but they lost with just 17 minutes left when hometown boy Dragan Mladenovic scored from 10 yards on his debut for his country in the stadium where he earns his living for Red Star.
But Wales will look at the moment three minutes after substitute Robert Earnshaw came on when he was sent clear but after rounding the keeper saw his shot kicked off the line. Now they have to go to Italy in a fortnight and try to stop the hosts overtaking them at the top of the group.
They were under pressure from the off with a first-minute cross from Zvonimir Vukic finding Darko Kovacevic arriving on the near post but Robert Page’s challenge forced the Sociadad star to shoot wide.
Page then did superbly to head away a dangerous cross from Milivoje Cirkovic as Wales were forced to dig in and defend.
A minute later Page again hurled himself in the way of a Dejan Stankovic drive to deflect the effort over, and from the corner Paul Jones made a splendid close range save from Zvonimir Vukic.
Page even got into the act at the other end when he got a foot to a Mark Pembridge free-kick and saw the shot go wide of a post.
Giggs and Bellamy had been doing so much defending the chances for attack were rare but as the half wore on the attacking became more confident from Wales.
A move, involving Pembridge and Speed, sent Giggs away after 29 minutes and his cross was reached by Simon Davies, but he could not get enough contact on his header.
Stankovic hit the crossbar with a superb curler from 30 yards and Vukic sent a header from the resulting corner flashing across goal.
Giggs produced a clever first-time ball after 43 minutes to Blake in the box and the Wolves man spun away from his defender but was denied by Dragoslav Jevric’s dive at his feet.
Gabbidon had an outstanding game, typifying Wales defending, but after 58 minutes Jones had to be alert to hurl himself to his right to hold a fierce low shot from Stankovic.
Savage fired over after 69 minutes following a lay back by Bellamy but the only goal of the game went to the home side in the 73rd minute when Stankovic’s corner from the left was laid back for Dragan Mladenovic to drill past Jones from 10 yards.
Wales’ response was to take off Blake and send on Robert Earnshaw, on 77 minutes. And it almost paid off three minutes later when Davies put the little Cardiff star away on his own.
But after rounding the keeper Earnshaw saw his goalbound shot kicked away from the line by Mladen Krstajic.
SERBIA & MONTENEGRO: Jevric, Dragutinovic, Cirkovic, Markovic, Mlaznovic, Stefanovic, Gavrancic, Zvonimir Vukic (. Ilic 67), Kezman, Dejan Stankovic (Predrag Djordjevic 82), Darko Kovacevic (Milosevic 71).
WALES: Paul Jones, Delaney, Speed, Gabbidon, Page, Pembridge, Savage, Bellamy, Blake (Earnshaw 77), Davies, Giggs.
Referee: Anders Frisk (Sweden).