Chris Coleman's side, who lost 2-0 to Portugal in the semi-finals on Wednesday, were met by First Minister Carwyn Jones and given a water cannon salute by a fire engine after touching down at the airport in the early afternoon.
Playing in their first tournament since 1958, Wales reached the last four for the first time in their history.
There were screams from hundreds of flag-waving fans who waited for the squad as they moved through the arrivals hall. The players stopped to sign autographs and pose for selfies before getting onto coaches for an open-top parade of the city.
A special concert for the players was also due to take place at Cardiff City later on Friday.
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(Story refiles to add dateline.)
(Reporting by Neil Robinson. Editing by Adrian Warner.)
