Nelson Mandela was a "bright beacon of liberty and justice shining across the world", said MP and lifelong anti-apartheid activist Peter Hain.
The Neath MP learned of his family friend's death at the age of 95 while attending the royal premiere of a film about Mr Mandela's life.
He led political tributes to Mr Mandela, who visited Wales in 1998 and was awarded the Freedom of Cardiff.
The assembly and councils across Wales are flying flags at half mast.
A book of condolence has been opened at City Hall in Cardiff where Mr Mandela was granted the Freedom of the City on a 1998 visit.
All Football Association of Wales matches at the weekend will hold a minute's silence.
Lifelong friend Mr Hain was forced to flee South Africa in the 1960s with his parents because of their support for Nelson Mandela, one of the leaders of the then banned political movement, the African National Congress (ANC).
Mr Hain's mother, Adelaine, was present at Mr Mandela's trial in the 1960s where he was charged with treason.
Mrs Hain and husband Walter were placed under banning orders.
After the family moved to the UK, Peter Hain led protests against the apartheid regime.
The former Welsh Secretary said Wales' strong anti-apartheid stance helped Mr Mandela bond with the nation during his one visit.
"There was something about his visit to Wales where he felt a great identity with Wales as a small country and because of the role of the Welsh anti-apartheid movement," he told BBC Wales.
"And you could in a sense feel that in the way he met people and reacted to people and thanked them all in such generous terms."
Mr Hain added: "The Welsh anti-apartheid movement that he thanked that day was a very strong movement, in the trade unions, the labour movement, the churches.
"And when the Springboks came in 1969 to tour Wales there were demonstrations, including probably the roughest, most violent attacks on demonstrators at Swansea - at St Helens - of the entire 25-match tour."
Speaking from his Neath home, Mr Hain described Mandela as a "magnetic figure" who "never lost his common touch, his identification with people".
"He exuded humanity and was a people's leader not just a towering figure.
"Nelson Mandela was not just the courageous leader whose whole adult life, pretty well, was spent on Robben Island in a tiny cell, he was also somebody who healed a bitterly divided nation, who brought people together, who forgave his oppressors but never forgot their oppression.
"And in that sense, he was, for me, the icon of all international icons."
Mr Mandela had been receiving home-based medical care for a lung infection after three months in hospital.
First Minister Carwyn Jones led tributes from the Welsh assembly.
"Nelson Mandela can be truly described as one of the greatest figures of modern times," he said.
"Not many people can claim to have changed the history of their nation for the better, by bringing together what was then a bitterly divided society."
Leader of the Welsh Conservatives, Andrew RT Davies, said: "Nelson Mandela was - and will always be - a global inspiration.
"His was a life that has defined what it means to be truly great."
Leanne Wood, Plaid Cymru leader, said the world would mourn "a great man who has inspired generations and whose achievements will last forever".
Kirsty Williams, leader of the Welsh Liberal Democrats, said Mr Mandela's "ability to unify communities and deliver justice to a fractured and tormented state are unparalleled and his legacy will continue for generations to come".
The assembly's presiding officer, Rosemary Butler, said flags would fly at half mast on Friday and on the day of Mr Mandela's funeral.