Prime Minister Rishi Sunak held talks with First Minister Mark Drakeford on his first day in office.
The pair spoke with one another on Tuesday evening, emphasising their "duty" to work together in order to respond to the UK's "shared challenges".
Mr Sunak also contacted the First Minister of Scotland, Nicola Sturgeon.
It marks a stark contrast to Mr Sunak's predecessor, Liz Truss, who did not telephone Mr Drakeford or Ms Sturgeon during her time in office.
'Good to speak'
Following the conversation, Mr Sunak said it was "good to speak to" Mr Drakeford and Ms Sturgeon.
He tweeted: "I emphasised our duty to work closely together to respond to the shared challenges we face, so that collectively we can deliver for the people of the United Kingdom."
Mr Drakeford said he took the opportunity to congratulate Mr Sunak on his appointment as Prime Minister.
The Welsh Labour leader tweeted: "Tonight, I spoke to the Prime Minister.
"A chance to congratulate the Prime Minister and discuss the importance of working together as four nations to address the urgent challenges we face as a United Kingdom."
Ms Sturgeon said the call had been "constructive", tweeting: "Constructive call with Rishi Sunak tonight.
"I expressed hope that we will build a UK/Scottish Government relationship based on mutual respect - including for mandates - and my fear that further austerity will do real damage to people and public services.
"I look forward to further engagement soon."
It is understood Mr Sunak "assured" Ms Sturgeon the UK Government would engage with the devolved governments ahead of the Chancellor's forthcoming budget statement.
Ms Truss had previously accused both Ms Sturgeon and Mr Drakeford as being part of an "anti-growth coalition" during her Conservative Party conference speech earlier this month.
She also listed Labour, the Lib Dems, the SNP, "militant" trade unions and climate change protesters as part of the so-called coalition.
"Mark Drakeford in Wales is cancelling road-building projects and refusing to build the M4 relief road," Ms Truss said.
"Nicola Sturgeon won't build new nuclear power stations to solve the energy crisis in Scotland.
"Have these people ever seen tax rises they don't like or an industry they don't want to control?
"They don't understand British people, they don't understand aspiration...They are prepared to leave our towns and cities facing decline."
Mark Drakeford responded to those comments saying: “It’s disappointing that the Prime Minister chooses to talk about the First Ministers of Wales and Scotland rather than to the First Ministers of Wales and Scotland. “