They left the Welsh capital with the more pleasant baggage of three points and a burgeoning confidence ahead of next week's home tie against Croatia.
Marc Wilmots' side have been heavily praised ahead of the 2014 World Cup qualifying campaign. They may be the subject now of increased anxiety, not least by the Croats, who will know that the next game could already be crucial in deciding the outcome of Group A.
Scotland, meanwhile, could sit back and watch last night, but there should be nothing relaxed about the collective demeanour of the nation. The Belgians were assured, even relaxed. The Welsh were predictably defiant and occasionally dangerous.
A rehearsed nod at the front post by Vincent Kompany after 41 minutes gave Belgium a lead they deserved. A short pass to Thomas Vertonghen from a free-kick, his subsequent flashing shot into the net late in the second half settled an argument that was heavily one-sided.
The dismissal of James Collins for a reckless tackle after 25 minutes moved the task of Chris Coleman's side from the extremely difficult to the frankly impossible. The visitors dominated possession, created chances and left Wales battered and bewildered after an energetic start.
They sprinted out on the front foot and even mustered the impertinence of a brief period of pressure in the second half. It was, though, no shock that this was weathered by the Belgians.
The hunt for Belgian flaws was exhaustively undertaken by those who harbour strong Caledonian sympathies. This examination uncovered the merest causes for optimism.
There may be just a slight lifting of the eyebrows over some of the interventions by goalkeeper Thibault Courtois, there were legitimate questions over the lack of a decisive strike by Kevin Mirallas, of Everton, on the night and there may have been a slight lack of urgency by Wilmots' team. However, these are quibbles in a match where Belgium slowly assembled an impressive case in the prosecution of a qualifying place.
A Wales team – weakened by the late withdrawal of Joe Allen and already struggling under the blow of missing such as Craig Bellamy and Jack Collison – endured a difficult evening but there were glimpses of hope amid the gradually accumulating gloom occasioned by sustained Belgian pressure.
Much of the match consisted of Wales trying to hold a line on the 18-yard box as the sophisticated midfield of Alex Witsel, Marouane Fellaini, Eden Hazard, Mousa Dembele and Dries Mertens prodded and probed for space through the middle or on the wing. Mirallas, who squandered several decent chances, did not come out for the second half but his more than adequate replacement was Romelu Lukaku, the Chelsea player on loan to West Bromwich Albion.
He, too, missed the odd chance, but it would be an optimism of the most foolhardy variety that wagered heavily on a prolonged spell of profligacy from Mirallas and Lukaku.
Belgium, therefore, franked their growing reputation with a telling performance, but Wales are not entirely without hope.
Coleman will console himself with the thought that he has the injured players to welcome back and the highly talented Aaron Ramsey and Gareth Bale in whom to place his trust. The odds are lengthening on Wales being involved at the sharp end of this group, but they could be a sore irritant.
Bale is the sort of player who can turn a match with a dashing surge and he offered that possibility to his team last night. Indeed, he conjured up two such moments in the first half. First, he reached the byeline but chipped too high for the onrushing Simon Church. Then he made his way into the danger area and crossed with his right foot to find Steve Morrison, who was only denied by a desperate, defensive lunge.
It was sobering to note that although Belgium started with a magnificent seven of Barclays Premier League players, Wales had picked eight. Of course, no-one will argue with any conviction that Welsh players such as the feckless Collins or Ashley Williams are on a par with such as Hazard or the defensive mainstays of Vertonghen or Thomas Vermaelen. But Coleman has sufficient resources to set up a team that should be obdurate on the road and dangerous in the Millennium Stadium.
The triumph of Belgium last night was not just in the securing of three points but in making Wales look distinctly inferior. The red-shirted dragons, though, have the capacity to breathe a withering fire on other teams in the group.
The heavy reliance on Ramsey and Bale for inspiration created openings rather than goals but Wales have a strong presence at set-pieces and Morrison can be severely troublesome when the ball is launched towards him. One knock-on from the Norwich City striker found David Edwards clear six yards from goal but his shot flashed into the side net from a difficult angle.
One sensed Wales had to score early to seize the initiative from Belgium and the dismissal of Collins, followed by the opener from Kompany, robbed the match of intrigue. The home side wanted an untidy scuffle but the match became a procession, almost exclusively towards the goal of Boaz Myhill.
The Belgians are far from any qualification place. Their first steps, though, carried a tread heavy of purpose.
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