Canon Joanna Penberthy became the 129th Bishop of St Davids in Pembrokeshire after an electoral college of 47 people spent two days locked in the cathedral before coming to their decision.
Canon Penberthy, 56, appointed the cathedral's first woman canon in 2007, takes over the role from Wyn Evans.
The decision to allow women bishops was made following a vote in 2013.
She said she had faced discrimination and could accept not everybody would be happy with the appointment.
"I think the first thing to stress there is, as someone who in the early years was at the receiving end of prejudice and discrimination, I have absolutely no intention of dishing that out so I think it's important that everybody feels free to be honest about their opinions and about their misgivings."
When asked whether this could pave the way for her to become Archbishop, Canon Penberthy said: "Don't you think we'd better let me learn how to be a bishop first?"
She added: "I was stunned, absolutely stunned, overwhelmed really. It's a huge responsibility whether you're a man or a woman.
"But it's also such a joy, not just to me but for all the women who through the centuries have had the courage to bear witness to their vocation."
The Archbishop of Wales, Dr Barry Morgan, called it "an historic moment" for the church.
Women bishops are also allowed in Scotland, Northern Ireland and England, where plans were formally approved in November 2014. The Right Reverend Libby Lane, was made Bishop of Stockport in January 2015.
St Davids' new bishop was educated at Newnham College, Cambridge and St John's College, Nottingham, and undertook ordination training at Cranmer Hall, Durham, in 1983.
Canon Penberthy was then a Deaconess in the city, before working in the role in Cardiff between 1985 and 1989.
She also served as a non-stipendiary minister in Cardiff, St Asaph and St Davids, between 1987 and 1995.
In February 2007, while vicar of Cynwyl Gaeo, Llansawel and Talley, she became the first woman appointed canon at St Davids Cathedral, a role she remained in until 2010.
She is currently the rector of the parish of Glan Ithon, near Llandrindod Wells, Powys.
The Church in Wales' first woman bishop has said she faced prejudice at the start of her career.