The Met Office said the storm will bring a spell of strong winds up to 70mph (112km/h) overnight on Thursday and into Friday, mainly in coastal areas.
The yellow warning for Wales was issued on Wednesday morning, with periods of heavy rain also expected. The Met Office said injuries and danger to life from flying debris are possible.
The weather warning is in place between 00:00 and 14:00 BST on Friday.
The Royal National Lifeboat Institution (RNLI) has urged anyone visiting the coast in south Wales to "to stay vigilant and not take unnecessary risks".
Gusts of wind about 50 to 60mph are likely to hit areas such as Cardiff, Swansea and Merthyr Tydfil.
Some coastal or exposed areas could see about 70mph gusts of wind, the Met Office said, adding winds will slowly ease during Friday afternoon.
The regions affected in Wales are:
Vale of Glamorgan
Ross Macleod, RNLI water safety manager, said: "If you plan to visit the coast or a waterside location, we urge you stay a safe distance from the water as conditions could knock you off your feet or wash you into the sea."
MacLeod said anyone in trouble in the water should "lie back in the water with your head so far back that your ears are wet, extend your arms and legs and try to relax as best as you can until you get control of your breathing before then calling for help or swimming to safety".
He added if anyone sees someone in danger, throw them something buoyant into the water and call 999 or 112 and ask for the coastguard.