11% of inmates are from BAME backgrounds, compared with 4.4% of the country's population.
David Lammy, tasked with the review by the prime minister, was speaking during a visit to Cardiff prison.
He said BAME inmates said prison staff were fair but the court system was not.
"This is a review of England and Wales and it's very important I see the context here in Wales," the Tottenham MP said.
"There's a two-fold increase [of prisoners] on the general population, so you do see disproportionality.
"It's interesting speaking to the prisoners. The way they feel they're treated in [Cardiff] prison is higher than it is in England.
"Generally, they feel they're treated by staff in a fair way and a friendly manner.
"However they did have quite a strong feeling the court system was unfair.
"It's been good to be in a different prison environment. There's a different feeling here in Cardiff."
Mr Lammy has already visited HMP Grendon, Feltham, Brixton and Pentonville as part of the review.
He has also visited the USA and is due to visit Australia.
He does not have plans to visit any other prisons in Wales.
Source: Ministry of Justice
While in Cardiff, Mr Lammy met with governor Darren Hughes and spoke with offenders.
One inmate, 24-year-old Barfah Joof, said he was serving a four-and-a-half year sentence after pleading guilty to possession of Class A drugs with intent to supply.
Asked if he thought there was racism in the system, he replied: "100% - I don't think it's that hidden, to be honest."
Of the review, he said: "I know it's not going to help me, but I hope it changes it for people in the future."
Prison governor Mr Hughes said: "Our recent assessment of the quality of life of prisoners at HMP Cardiff highlighted the many improvements we have made in the last few years, with BAME men reporting a positive experience at our prison."
He said the jail had "a real focus on rehabilitation".
While in Cardiff, Mr Lammy also visited the crown court and probation service.
He discussed the review with senior members of the Prison Service in Wales as well as HMP Cardiff's Independent Monitoring Board.
His review will make recommendations to tackle potential bias or prejudice in the criminal justice system when it reports in spring 2017.
Welsh prisons have a disproportionate number of black and minority ethnic prisoners, the MP conducting a review into apparent race bias in the criminal justice system has said.