Cyclist Owain Doull and sailor Hannah Mills who both won gold at the Rio 2016 Olympics attended the Senedd event.
Champion shot putter Aled Sion Davies and javelin gold medallist Hollie Arnold, who won two of seven Welsh Paralympic medals, were also there.
Carwyn Jones paid tribute to the athletes' determination to win.
Davies told the crowd it was great to be back in Wales and see the appreciation of the fans.
"It's lovely. When I was out in Brazil you are in like a bubble, so you don't see all of this. So to get back here and to be part of such a successful summer for Wales, it's great," he said.
Arnold, who moved to Ystrad Mynach, Caerphilly county, from Grimbsy so she could train in Wales, thanked the people of Wales for their support.
"Thank you for welcoming me. This [motioning to her medal] is pretty much for everyone who's helped me, so thank you," she said.
Team GB Chef de Mission Mark England said: "It was absolutely wonderful - the athletes were superb and Wales contributed so wonderfully to the medal."
First Minister Carwyn Jones led a round of applause for the athletes and thanked them for inspiring a new generation.
He said: "You look at the people behind me and what you see is the dedication, determination, strength and of course more than anything else, a will to win.
"You have done us proud, there are so many people around Wales this evening, youngsters particularly, who will have seen what you've done and they will say 'hey, if they can do it, I can do it'.
"And we know that means in future we won't be short of champions as well."
Hundreds of people have gathered to welcome Welsh Olympians and Paralympians home at a ceremony in Cardiff.