The Met Office said an 'unusually deep area of low pressure' is heading towards the county and will bring strong winds of up to 60mph.
The warning is in place from 6pm today (Thursday, May 20) to 9pm tomorrow.
A spokesperson said: "In addition to some heavy rain, this low will bring with it a spell of relatively high winds.
"The windiest conditions will start to affect south Wales and southwest England Thursday late afternoon and evening before spreading across southern England Thursday night and early Friday. Inland, gusts up to 45 to 50 mph are expected at times whilst over coasts and hills gusts will reach as much as 55 to 60 mph.
"These high winds then slowly ease from the west later on Friday."
People have been warned that windy weather may lead to some travel disruption and, perhaps, damage to temporary outdoor structures.
"Some delays to road, rail, air and ferry transport are likely," the spokesperson added.
"Probably some bus and train services affected, with some journeys taking longer.
"It’s likely that some coastal routes, sea fronts and coastal communities will be affected by spray and/or large waves.
"Delays for high-sided vehicles on exposed routes and bridges likely.
"Some damage to outdoor temporary structures possible, with some tree branches down too."