Despite the defeat, Wales will overall feel content with their performance level as they faced an Italy side who looked very impressive in 2024 and beat Germany in their last game in December.
The hosts created the better chances, especially in the opening exchanges, but were denied by resolute defending.
This was guaranteed to be a special evening for Hayley Ladd who captained Wales on her 100th cap, with the Everton defender becoming just the 10th player to reach that milestone for her country.
Ladd switched from her usual central defensive position to anchor the midfield as boss Rhian Wilkinson made three changes to the side that won in Dublin in the Euro 2025 play-off to clinch a spot in Switzerland.
However, there was little doubt that Italy represented a daunting test and Wales found themselves behind in the fifth minute as Bonansea glanced home a header from Manuela Giugliano's corner.
Things could easily have unravelled for the visitors as goalkeeper Clark was forced into a double save on nine minutes to stop efforts from Sofia Cantore and Cristiana Girelli as Italy's all-Juventus front three caused trouble. Girelli also looped a header on to the crossbar.
Italy's failure to find a second goal offered Wales encouragement and they slowly got a foothold in the game with James coming within a whisker of scoring a beauty midway through the first half as her audacious, looping effort from distance clipped the upright.
The talismanic Jess Fishlock also had a header saved as the visitors pushed for an equaliser and began passing the ball with more purpose.
But Clark had to be brave to deny Cantore's effort, with Lucia di Guglielmo blasting the rebound over from a promising position.
Wales face a minimum of nine games in 2025 against sides who are all in the top 20 in the world rankings, but Wilkinson will be encouraged by the way her side recovered from their slow start.