South Wales Police and Dyfed-Powys Police are each looking into one complaint - the former said the "non-recent" abuse complaint concerned an amateur side.
North Wales Police said it was looking into "a number of reports of non-recent sexual abuse".
Gwent Police has not received any abuse allegations linked to football.
Hundreds of complaints have been made across the UK, with 20 police forces carrying out investigations.
The Children's Commissioner for Wales, Prof Sally Holland said she did not want children or parents to be put off in taking part in sport as clubs "should have safeguards in place."
Former footballers Andy Woodward, 43, Steve Walters and Chris Unsworth, both 44, have launched the Offside Trust to support players who are victims of abuse and their families.
The former players broke their silence last month to make claims of abuse in football, prompting several more to come forward.
Matthew Monaghan, originally from Pwllheli, Gwynedd, is an ambassador for the charity.
Mr Monaghan, a former Wales and Manchester United player, told last week how he walked away from a promising career in football because of abuse he suffered at the hands of a coach as a child at another club.
A total of 350 people have alleged they were victims and 55 football clubs are linked to allegations of abuse.
Three Welsh police forces are investigating allegations of historical child sexual abuse at football clubs.