Hundreds of jobs in Wales, part of a total of 11,000 across the UK, were lost after the retailer went into administration in April.
On Friday, staff in Swansea wore T-shirts bearing the slogan "No more green" which appeared to mock former BHS owner Sir Philip Green.
BHS had six stores in Wales in Carmarthen, Swansea, Cardiff Bay, Newport, Wrexham and Llandudno.
A report by MPs' found Sir Philip extracted large sums from the business before leaving it on "life support" and his failure to resolve its Â£571m pension deficit was a major factor in its firm's demise.
Steve Britten, manager of the Princess Way store in Swansea, said it had been an emotional time for staff.
"We have been through the emotion - on June 22 we were given the official notice. Obviously that was a tough time as we did not know what was going on or what was happening," he said.
"We look like we are going to be the last store in the region - we are quite proud of that. We are the last ones standing."
The last BHS store in Wales will close in Swansea on Sunday.