The Met Office said the rain would be slow-moving and intense in some regions, with up to 15mm (0.5in) or more falling in less than an hour.
It warned the heavy showers could cause temporary surface water flooding, leading to travel disruption.
The warning is in place from 12.30 BST to 23:59 Tuesday.
A yellow "be aware" warning for rain has been issued for Wales, with heavy downpours predicted.