The healthy male calf arrived at Folly Farm zoo in Pembrokeshire to first-time mother Dakima.
Eastern black rhinos are classed as critically endangered due to poaching and loss of habitat.
There are believed to be less than 650 less in the wild, with around 87 in zoos across Europe.
The calf was born at 4.37am on January 16 following a 15-month-long pregnancy.
Within a few hours, he was standing up to follow mother Dakima around their enclosure.
Tim Morphew, curator of Folly Farm, said: "We couldn't be happier to welcome our new arrival - Dakima has taken to motherhood like a duck to water.
"She's being very protective of the baby which is great because it shows they have a strong bond.
"This is the most important baby ever to be born at Folly Farm and it is such a monumental event for all the staff here.
"Ever since the breeding pair arrived in 2017, we've worked hard to create an environment where they've felt comfortable to mate.
"Not only is this calf helping to increase numbers of a critically endangered species, he's also the first rhino ever to be born in Wales."
Dakima, six, arrived at Folly Farm in May 2017 as part of a breeding programme and was paired with Nkosi, nine.
She is believed to have conceived in October 2018.
Mr Morphew said Nkosi would be an "absent father" as male rhinos do not interact with their offspring in the wild.
"In the wild rhino calves can stay with their mums for up to four years, after that there's a possibility this baby could one day be released into the wild to help boost population numbers - or move to another zoo to continue the breeding programme in Europe," he said.
"It's exciting to be playing our part in helping to safeguard these amazing animals for future generations."
The calf, who is thought to weigh between 30 and 45kg, will be closely monitored by keepers alongside his mother over the coming weeks.