Gunners striker netted in the 18th minute to secure victory at the Cardiff City Stadium in Gary Speed's memorial game
The visitors netted the winner in the seventh minute when Campbell, on loan at Lorient from Arsenal, broke behind the Welsh defence and met Bryan Ruiz's through ball to slot home to condemn Chris Cole to his first defeat in charge of Wales.
Coleman’s side had chances to get level as Steve Morison hit the bar in the first half and in the second Hal Robson-Kanu forced a brilliant save from Costa Rica keeper Keylor Navas while Kenny Cunningham hit the post for the visitors late on.
Craig Bellamy captained Wales in the absence of the injured Aaron Ramsey, while Morison led the line by himself as Coleman opted for a five-man midfield.
Costa Rica got off to a brilliant start when Ruiz got the ball just outside the box and slid a wonderful ball between Darcy Blake and Ashley Williams for Campbell who had made a good run behind the defence and he made no mistake in slotting the ball past Lewis Price.
Campbell nearly doubled Costa Rica’s lead in the 18th minute when he was slid down the line by Ruiz and beat Blake for pace, he then shot at goal from a tight angle and Price was forced to make a good save as the ball seemed destined for the net.
Morison nearly got the Welsh level but his header clattered off the bar and was cleared after he had rose highest from Joe Allen’s corner and had got good contact on the ball but it rattled the bar and bounced to safety.
Wales came out in the second half looking to get back into the game and nearly did when Bellamy pounced on a mistake by Roy Miller who failed to clear his lines in the Costa Rica box but the Liverpool man’s effort went just over the bar.
The visitors were sitting deep and looking hit Coleman’s side on the break and this tactic nearly paid off when Bryan Oviedo broke down the left and fired a decent shot at goal which just crept past the post.
In an end-to-end game, Robson-Kanu produced a bit of magic and almost got the equaliser for Wales as he burst down the right and cut inside beating his man. The Reading winger then curled a left-footed shot towards goal which was brilliantly saved by Navas.
Cunningham nearly sealed the victory for Costa Rica when he chased down a long ball and beat Sam Ricketts before shooting at goal unfortunately for the striker his effort beat Price but slammed off the post and out of play.
Wales tried to force a winner in the final few minutes but were unable to break down the Costa Rica defence as Robert Earnshaw came closest his headed effort was ruled out for offside.