The Wolves skipper produced a fine first-time finish from Kieran Trippier’s second-half free-kick as the Three Lions cruised to a 3-0 win.
His goal came after Villa’s Jack Grealish, making his full England debut, had set up Dominic Calvert-Lewin to open the scoring for Gareth Southgate’s men.
Coady’s goal was made more remarkable by the fact he has scored only twice for Wolves – his most recent a penalty in the 4-0 victory at Bolton during the 2017-18 Championship winning campaign – and rarely ventures across the halfway line for Nuno Santo Espirito’s team.
The strike was the first by a Wolves player for England since Steve Bull netted in a warm-up match against Tunisia prior to the 1990 World Cup in Italy.
The night then got even better for Coady when he was handed the captain’s armband with just over 30 minutes remaining when Trippier, who had been named captain by Southgate, was withdrawn.
Coady said: “I’m in shock to be honest with you. The ball in (from Kieran) was incredible. Me and Dominic (Calvert-Lewin) had just swapped positions in the box and when the ball came to me I just tried to get my toe on it.
“It will live with me forever. I think it will be on continual repeat in my house now with the kids."
Asked about what it was like to wear the armband, he replied: “I can’t explain it. To play with these players is incredible for me, wearing the armband or not. But the feeling of it, everything about playing here at Wembley is incredible. It is a night I will never, ever forget.”
Villa talisman Grealish also took the chance to impress, capping a fine performance by creating the opening goal of the night for Everton’s in-form striker Calvert-Lewin.
Grealish drifted to right and created half a yard to deliver the perfect cross for Calvert-Lewis to head home his 10th goal of the season for club and country.
And Grealish’s Villa Park teammate Tyrone Mings then got in on the act after being introduced as a second half substitute, heading on a corner from which Danny Ings produced a brilliant overhead kick to make it 3-0.
Coady became just the fourth post-war Wolves player to captain England as he donned the armband against Wales.
The defender had the huge honour in what was only his second cap, becoming the first Molineux star to skipper the Three Lions since Emlyn Hughes in 1980 – Ron Flowers, in 1964, and Billy Wright, between 1948 and 1959, before him.