Famous victories over Russia and Belgium at Euro 2016 were the ultimate prize scalps, but there were plenty of others in high-stakes qualifying matches.
His tenure there, in terms of competitive games at least, ended in disappointment, a flat 1-0 defeat at home to Martin O’Neill’s Ireland.
There were plenty of bumps in the road, but generally Wales had the mental fortitude to deliver under high pressure.
Dr Ian Mitchell was seen as key to that, a sports psychologist whose future was one of the key reasons Coleman did not sign a new deal with Wales and was thus open to the offer of a club job.
Clearly, the pressure of playing for Sunderland has hindered the current squad in recent years, so does Coleman see it as a position he might look to create on Wearside?
“The psychologist we had with Wales played international football, so I think that was what gave us a real edge. He was tremendous and is still in the system,” he said.
“That was one of my gripes with Wales. I wanted that position to be permanent, not necessarily Ian Mitchell, but I thought it was huge to have that in international football.
“I have seen the benefits of it [sports psychology].”
Sunderland have not had a sports psychologist on the books in recent times, though one was employed by Sam Allardyce as the club lifted itself to safety in the Premier League in 2015-16.
Coleman’s comments suggests that he is unlikely to follow suit, but he is nevertheless acutely aware of the need to free his players of any burden they are playing with.
The meek 3-0 surrender was a stark reminder of that, though Coleman took great encouragement from the performances that saw his side take four points from highly- rated Wolves and Fulham.
He has challenged his side to relish the high-pressure games, with 20th-placed Barnsley the visitors to the Stadium of Light on New Year’s Day.
They sit just three points above the Black Cats, who could ease their relegation troubles significantly with a positive result against the Tykes and away to Nottingham Forest tomorrw afternoon.
Coleman said: “These games, these are the best ones. OK, these are big games for us now for the wrong reasons.
“But I can tell you now, I won’t sleep much before games like these.
“It is stressful, pressurised, but I love it, because it is all on it, because that is when you feel absolutely alive.
“As long as we don’t shy away from it, you can look at it and say, ‘Why can’t this be another good weekend for us?’”