However, New Zealand, playing without the now retired Dan Carter and Richie McCaw, showed just why they are the best team in the world as they scored 21 unanswered points in the final quarter to win 39-21.
Wales started strongly with an early try for Taulupe Faletau, before Ospreys scrum-half Rhys Webb popped up for the second after great work from Liam Williams of the Scarlets.
It wasn't enough though as New Zealand finished strongly in the first Test of the three-match series.
Gatland's men now face the Chiefs on Tuesday before the second Test against the world champions in Wellington, with the Kiwi coach having called up teenager Keelan Giles and Guinness PRO12 top points scorer and Scarlets-bound Rhys Patchell as injury cover.
Gatland said: "There were a lot of positives out and we learn from the experience of that match.
"I think we would have learned a heck of a lot from that and hopefully we are better for it again next week.
"We were brilliant for 60 minutes. We said we were going to come out and play. We knew we needed that game after England.
"It's the learning you take from playing against the best team in the world and sometimes the learning takes place out in the middle.
"It doesn't matter what we do on the training field and as coaches, you've got to be out there in the middle and experience the relentlessness that the All Blacks bring.
"We feel like we get better the longer we are together. Players don't have that many games at that level of intensity.
"They get to experience it a lot more than us and are familiar and comfortable with that."
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