Actor Bill Nighy was among the guests on the red carpet for the showing of Their Finest at the Royal Welsh College of Music and Drama on Tuesday.
Set in the early 1940s, it tells the story of filmmakers trying to make a patriotic film about Dunkirk, to boost British morale during the Blitz.
The film was shot extensively in Wales, including at Swansea's Guildhall.
Other locations include Trecwn Valley, Freshwater West, Porthgain Harbour and Haverfordwest's Palace Cinema, all in Pembrokeshire.
Alongside lead Gemma Arterton, the cast members include Sam Claflin as her fellow screenwriter and Nighy as a fading matinee idol who reluctantly joins their production in a supporting role.
Richard E Grant, Rachael Stirling, Jeremy Irons and Helen McCrory also make up the cast.
Speaking ahead of the screening, Nighy said filming in Wales, particularly on the Pembrokeshire coast, was "very pleasurable".
He added: "People who didn't know Wales as well as I did were kind of stunned by how beautiful [it was] - it could have been anywhere in the world - it was a fabulous beach."
The premiere was hosted by the Welsh Government and Bafta Cymru.
Hannah Raybould, director of Bafta Cymru, said: "We are thrilled to host this event to celebrate a film which was shot extensively in Wales with Welsh crew and showcases our stunning Welsh locations alongside such a star-studded cast.
"The event promises to be a special highlight in our events programme and we're delighted to offer our members the chance to be among the first to see the film."
A talk will be held following the screening, featuring the film's producer Amanda Posey, screenwriter Gaby Chiappe and Lissa Evans, author of the original book Their Finest Hour and a Half.
The film received funding from the Welsh Government alongside BBC Films and Pinewood Group.
Their Finest opens in cinemas nationwide on Friday.
A wartime romantic comedy filmed in Wales has had its premiere in Cardiff.