The warning is the most severe warning that the Met Office issues.
An amber 'be prepared' warning covering mid and other parts of south Wales are still in place from 12PM until 8AM on Friday.
Most of north Wales are covered by a yellow 'be aware' warning for snow.
Dyfed-Powys Police is warning the public that there is a high possibility of heavy snowfall on the way and reminding them to take sensible precautions.
Some schools in Wales have announced they are to close as the country prepares for heavy snowfall.
School closure information:
This was the scene across Wales on Wednesday:
The Met Office has issued 'be aware' warnings of snow and strong winds which cover much of the rest of the week.
Police are warning anyone travelling on the roads to take care.
Forecasters predict there is a chance there could be long delays and cancellations on bus, rail and air services.
There is a chance that roads may become blocked by deep snow, with stranded vehicles and passengers.
There is another warning for Wales except for the far North on Thursday.
Friday and Saturday will see the warning returning for the whole country.
Across the UK amber warnings have been issued for snow showers, covering the South East and North East of England and the East Midlands.
With forecasters warning snowfall of up to 15cm, Caerphilly County Borough Council have advised people to 'walk like penguins' in order to avoid slipping.