Chris Coleman's hosts were facing an uphill battle from the off after losing several key players for their clash with a Belgium side boasting eight Premier League stars.
Their task was made even harder when Collins was shown a straight red for a clumsy lunge on Guillaume Gillet after 25 minutes.
Before that, the West Ham United defender had played a big role in Wales's early resistance, although the stalemate could also be attributed to the visitors' wastefulness in front of goal.
With the pace of Gareth Bale, Wales were a threat on the counter attack and their best chance came courtesy of great work from the flying winger, but Simon Church could not reach his cross with the goal gaping.
Belgium did captialise on their numerical advantage when Man City skipper Kompany headed in from Eden Hazard's corner on 41 minutes.
Everton striker Kevin Mirallas nearly doubled Belgium's advantage before the break but sent a close-range effort wide.