In Wales, the leader of the Hunt was Gwynn ap Nudd, the "Lord of the Dead" and the ruler of Annwn (the Underworld). Gwyn means "fair, bright, white" and is cognate with Irish fionn. He is alos known as Arawn, king of Annwm. In later legends Gwyn is king of the tylwyth teg or "fair folk". He rides with his white, red-eared hounds (the Cŵn Annwn or Hounds of Annwn) through the skies in autumn, winter, and early spring.

The baying of the hounds is identified with the crying of wild geese as they migrate, and the quarry of the hounds are the wandering Otherworld Spirits (possibly fairies), being chased back to Annwn (sometimes to the abode of the Brenin Llwyd or Grey King). Later the relevant mythology was altered to describe the "capturing of human souls and the chasing of "damned souls" to Annwn"; Annwn was inaccurately revised in some variants of Welsh mythology and described as being "Hell."

In the early Arthurian story Culhwch and Olwen, he abducted a maiden called Creiddylad after she eloped with Gwythr ap Greidawl, Gwyn's long-time rival. Gwyn and Gwythr's fight, which began on May Day, represented the contest between summer and winter. He helped Culhwch hunt the boar Twrch Trwyth.

Some of the more prominent myths about Gwyn include the incident in which Amaethon stole a dog, lapwing and a white roebuck from Gwyn, leading to the Cad Goddeu (Battle of the Trees), which Gwyn lost to Amaethon and his brother, Gwydion.

In the Mabinogion, Pwyll mistakenly set his hounds upon a stag, only to discover that Gwyn had been hunting the same animal. To pay for the misdeed, Gwyn asked Pwyll to trade places with him for a year and a day, and defeat Hafgan, Arawn's rival, at the end of this time, something Arawn had attempted to do, but had been unable to. Arawn, meanwhile, took Pwyll's place as lord of Dyfed. Arawn and Pwyll became good friends because, though Pwyll wore Arawn's shape, he slept chastely with Arawn's wife.

Similar stories can be found with the Fiana and Tuaha de Danann, the fairy people of Ireland