Riku Riski's last-gasp leveller denied Chris Coleman a win in his first game since signing a new deal as Finland held Wales to a 1-1 draw.
King's second international goal early in the second half looked to have secured a friendly win for Wales in Cardiff on Saturday, but Riski latched onto a fine pass from the impressive Roman Eremenko in injury time and finished clinically to thwart Coleman's charges.
There had been much speculation over Coleman's future as his previous contract was due to expire after this game, but he put pen to paper on a new two-year agreement this week.
Coleman, who had been linked with the vacant Crystal Palace job, would have been encouraged by Wales' second half display but Mixu Paatelainen's side refused to accept defeat.
Gareth Bale made welcome return for his first Wales performance since his record move from Real Madrid and he showed glimpses of his class.
Finland, and Eremenko in particular, also had their moments and Teemu Pukki almost put Finland in front in the first half when his shot hit the post.
In-form Arsenal midfielder Aaron Ramsey was ruled out with a virus as Coleman made five changes to the side that drew with Belgium last time out.
Eremenko was passed fit after recovering from a dental problem and he was one of only four players to retain their starting berths following last month's defeat to France.
The visitors were unfortunate not to be in front after 14 minutes, when Wales stood off Pukki in the penalty area and the Celtic striker almost made them pay only for his right-footed strike to rattle the post.
Wales were struggling to fashion clear goalscoring opportunities, but Bale flashed a dangerous cross across the face of the goal that somehow evaded everybody after 26 minutes.
Finland goalkeeper Lukas Hradecky was finally forced into a save 10 minutes before half-time when he kept out Hal Robson-Kanu's downward header, but the goal would not have stood as Ashley Williams was penalised for a push.
Bale then cut in from the right touchline at full tilt before unleashing a vicious left-foot shot from 25 yards out that was beaten away by Hradecky.
Wales looked far more dangerous after the break and they were in front after 57 minutes when King burst into the box to head home Robson-Kanu's cross from six yards out.
Finland responded and Wayne Hennessey got done well to palm away a shot from the lively Eremenko in the 62nd minute.
Bale made another opportunity for himself when he fired wide after 77 minutes but Finland had the final say at the death when Riski showed a good turn of pace to race clear and apply the finish after Eremenko had played him in.
|A. King||58' 78'|
|Coach: C. Coleman|
for S. Church 63'
for C. Gunter 72'
for N. Taylor 72'
for H. Robson-Kanu 84'
for J. Allen 90'
|Martino hails Argentina performance|
|MLS Preview: DC United, Orlando City battle for top spot|
|Panama 2 Costa Rica 1: Perez, Tejada end visitors´ unbeaten run|
|Kluivert´s Curacao advance to second round|
|Mexico 1 Paraguay 0: Eduardo Herrera´s debut goal secures victory|
|Mexico 1-0 Paraguay: Eduardo Herrera's debut goal secures victory|
|Argentina 2 Ecuador 1: Pastore the hero in Messi´s absence|
|Peru 0 Venezuela 1: Martinez goal settles heated contest|
|Wilmots pleased with Belgium´s response|
|Hodgson satisfied with draw|
|Argentina 2-1 Ecuador: Pastore the hero in Messi's absence|
|Real agree to sign Danilo|
|Turin return evoked ´strong emotions´ for Conte|
|Hiddink looking to build on Spain win|
|Del Bosque frustrated by friendly defeat|
|Bradford City 0 Chesterfield 1: Harrison strike moves visitors into play-off places|
|Portugal 0 Cape Verde 2: Hosts suffer shock friendly defeat|
|Townsend takes swipe at TV pundit Merson|
|Plane issue grounds England squad|
|Israel 0 Belgium 1: Fellaini nets again as Kompany sees red|
|N´Koulou returns to full Marseille training|
|Netherlands 2 Spain 0: Hosts ease pressure on Hiddink|
|Italy 1 England 1: Townsend leveller rescues draw|
|Ghana 1 Mali 1: Sako spot-kick denies Black Stars|
|Luxembourg 1 Turkey 2: Calhanoglu stakes claim with late winner|
|Ghana 1-1 Mali: Sako spot-kick denies Black Stars|
|Italy 1-1 England: Townsend rocket earns draw for Three Lions|
|Rummenigge marvels at ´genius´ Guardiola|
|Switzerland 1 United States 1: Stocker seals draw after Altidore red|
|Young players should not need a break, says Dyche|
|Tottenham acquire final piece of land for new stadium|
|Portugal 0-2 Cape Verde Islands: African minnows claim historic victory|
|Netherlands 2-0 Spain: Rejuvenated Dutch ease pressure on Hiddink|
|Switzerland 1-1 USA: Altidore sent off in friendly draw|
|Palestinian FA speaks out against Israel-Belgium venue selection|
|Valdes enjoying football again after injury nightmare|
|Emotional Cha retires ´a happy man´|
|Dortmund´s Kirch suffers knee injury|
|Newcastle need to be mentally prepared, says Williamson|
|Leno ´knows nothing´ of Real interest|
|Tunisia to compete in AFCON after apology|
|Van der Vaart not allowing future to affect his game|
|Vlaar: Sherwood has reduced stress levels|
|Roma hit by Gervinho hamstring blow|
|Jones optimistic over Everton´s strike partnership|
|Milik sustains knee ligament damage|
|Georgia fear stadium closure for Scotland clash|
|Zamparini: Juventus and Arsenal have bid for Dybala|
|South Korea 1 New Zealand 0: Lee nets late winner|
|Japan 5 Uzbekistan 1: Five-star hosts maintain Halilhodzic start|
|European clubs benefit from UEFA agreement|
|Vassell: Sky is the limit for Kane|
|Manchester United move would be an ´honour´ for Coentrao|
|Insigne out to bolster Napoli season after lay-off|
|Rooney warns Kane over ´clever´ Italy defenders|
|Rangers results reveal £500,000 Newcastle clause|
|Southampton announce £33.4m profit|
|´I am a very flexible man´ - Van Gaal|
|A-League Preview: Top spot up for grabs|
|Portugal - Cape Verde Preview: Andre and Oliveira eager for international bows|
|Puerto Rico 0 Canada 3: Floro´s men rout hosts|
|Xavi denies Al Sadd link|
|Fernando´s life ban upheld by CAS|
|Argentina - Ecuador Preview: Messi remains doubtful for friendly|
|Falcao equals Colombia´s all-time scoring record|
|Macedonia trip good learning curve - Postecoglou|
|Macedonia 0 Australia 0: Stalemate in Skopje|
|Del Bosque not out for Netherlands revenge|
|Burton Albion 1 Stevenage 1: Both teams score at wrong end in draw|
|Pekerman: I have no say on Falcao´s Manchester United future|
|Buffon has studied England new boy Kane|
|Conte urges patience from Italy fans|
|Johnson tasked with keeping Cheltenham up|
|Rooney not keen on Serie A switch|
|Kane to make first England start|
|Colombia 3 Kuwait 1: Spot-on Falcao equals Iguaran record|
|Goal-shy Barkley eyes striker´s role|
|UEFA opens disciplinary proceedings against Montenegro and Russia|
|Draxler and Choupo-Moting back in training|
|Ghana v Mali: Last chance to impress before Giresse return|
|Wilson: Gibraltar getting stronger|
|Mata confident of Spain future|
|Armenia coach Challandes resigns|
|Hiddink rubbishes talk of Dutch negativity|
|Portugal v Cape Verde: Santos set to rotate|
|Loren hails Moyes for Sociedad surge|
|Cruyff brands Netherlands ´a disgrace´|
|Kick It Out backs Barnes over race comments|
|Argentina v Ecuador: Messi remains doubtful for friendly|
|Coates backs Hughes ambition at Stoke|
|Atletico able to call on Saul again|
|Italy v England Preview: Kane set to start after dream debut|
|Zidane would accept Real job|
|Hernandez frustrated by lack of Real opportunities|
|Spartak donate money to 102-year-old fan after robbery|
|Clasie pulls out of Netherlands squad|
|Italy´s Bertolacci out of England friendly|
|Newcastle post record profit as Ashley debt stays the same|
|Al Sadd: We want Xavi to bring tiki-taka|
|Lacazette expected frosty Saint-Etienne reception|
|Barnes: I can´t get back into management because I´m black|
|Rooney praises England aggression|
|Southgate tips Kane for return to U21s|
|Mexico v Paraguay: Goals in order for Copa America aspirants|
|Netherlands - Spain Preview: Wijnaldum rallies behind under-fire Hiddink|
|Peru v Venezuela: Sanvicente wants Venezuelan response|
|Carvalho confident of playing Juventus|
|Neymar demands protection after Medel stamp|
|MLS Review: RSL, Fire secure breakthrough wins|
|Firmino firmly on radar - Dunga|