Hywel Williams, Plaid Cymru's leader in Parliament, said leaving the European customs union would risk more than Welsh 200,000 jobs.
He told the House of Commons the union took 68% of Welsh exports, and 90% of its food and drink exports.
The prime minister responded saying she wanted to negotiate deals and open up new markets for Welsh businesses.
In her speech on Tuesday announcing the UK should pull out of the European single market, Mrs May had warned EU leaders it would be a "calamitous act of self-harm" to punish Britain with harsh terms for Brexit.
Arfon MP Mr Williams echoed that phrase when he tackled her on the issue during Prime Minister's Questions on Wednesday.
"How can abandoning membership of the customs union that takes 68% of Wales's exports, including 90% of our food and drink exports, and which supports 200,000 jobs cause anything other than calamitous self-harm?" he asked.
The prime minister replied: "What we will be doing is negotiating a free trade agreement with the European Union to get the best possible access for trade with the European Union.
"But we also want to be able to negotiate deals, trade agreements with other countries around the world. A number of countries have already expressed interest in doing that with us.
"We want to do that to open up and see new export markets being delivered for businesses here in the United Kingdom, including for the sort of trade he's talking about in Wales."
Theresa May has been warned her Brexit plan will cause "calamitous self-harm" to Welsh exporters.