Neal Eardley opened the scoring for Wales with a penalty in Llanelli. Another three goals from Jonathan Brown, Andy King and Simon Church made it 4 - 0 at half time.
Luxembourg did pull one back but debutant James Wilson completed the rout making a full time score of Wales 5 Luxembourg 1.
The match was Wales' second game in the Euro qualifying competition. The opening match was a 0 - 0 draw in Luxembourg last Friday.