The Call to Mind: Wales report highlights that while much has been done in recent years, further improvement is required.
Progress includes the establishment of the only national veterans' service in the UK.
The report was commissioned by the Forces in Mind Trust and forms part of a wider review.
It is based on a series of interviews with veterans and their families, stakeholders and people working in the voluntary and independent sectors.
The aim is to find the most effective ways to assess the mental and related health needs of veterans, to support the development of those services, and ensure valuable resources are spent wisely.
Priorities include:
There could be up to 250,000 veterans in Wales, and 4% of ex-military personnel will suffer some kind of mental illness.
Ray Lock, chief executive of Forces in Mind Trust, said serving men and women deserve consistent and effective support.
He said: "Unfortunately, mental health is an area where there continues to be a lot of stigma and, as this report shows, it is incumbent on commissioners, providers and practitioners to work together to ensure that needs are adequately assessed, and that money is spent and targeted wisely."
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