Dyfed-Powys PCC Christopher Salmon has called on the Welsh government to adopt the same plans floated in England.
It follows a report in The Times that PCCs would replace fire authorities under UK government plans to be announced next month.
The Welsh government said it would be better to devolve policing.
Mr Salmon welcomed the initiative and said: "Joining up budgets and accountability is the best way to join up services for the public.
"Bringing emergency services together will help local areas innovate to improve safety for the public.
"Wales must not be left behind.
"Fire and rescue services are currently under Cardiff control [Welsh government]. I call on our partners in the Welsh government to demonstrate their commitment to devolution and explore ways to devolve fire and rescue services to PCC areas in Wales."
A Welsh government spokesperson said: "We fully support greater co-ordination between the emergency services, but we do not believe that giving police and crime commissioners responsibility for the fire service in Wales is the best way to achieve that.
"Devolving responsibility for policing to the Welsh government would allow us to facilitate closer joint working across all three blue light services better than passing responsibility for fire and rescue services to PCCs."

But two leading Scottish butchers have said they are happy to make changes to their traditional Scottish recipes to make it suitable for the US market.
They are looking into adapted haggis recipes which do not include ingredients - such as sheep lung - which are not allowed across the pond.
Alternative cuts of meat have been suggested to get around the American rules which prevent haggis imports.
Butcher Simon Howie said he could see no problem with adapting his haggis recipe for the US market.
He suggested replacing the sheep lung that the recipe calls for with lamb shoulder or flank meat to make it suitable.
Mr Howie, who is the world's largest producer of haggis, said this would change the texture slightly but the taste would be broadly similar.
James Macsween, of Macsween of Edinburgh, said they had already started adapting the recipe using only approved ingredients in anticipation of a change in US law.
Haggis imports have been outlawed in the US since 1971.
The country's food standards agency prohibits sheep lungs - one of the key ingredients - in food products.
Sheep lungs are "considered an inedible item" in the US, a spokesman for the country's Food Safety and Inspection Service has previously said.
Recipes for haggis can vary, but it is often comprised of offal - often a mixture made from the sheep's "pluck" - liver, heart and lungs - minced with spices, suet, onions and oatmeal which is soaked in stock then stuffed inside a sheep's stomach bag.
The stuffed stomach is then boiled, and often served with neeps 'n' tatties - or mashed swede and potatoes.
James Macsween, managing director of Macsween of Edinburgh, said lifting the ban on haggis imports to the US was a "massive opportunity" for the Scottish haggis industry.
The US export market would be roughly equivalent to half of the UK sales, Mr Howie estimated.
"We are ready to launch Macsween haggis in the US if there is a change in the current situation by the FDA," said Mr Macsween.
Richard Lochhead, the rural affairs secretary, told the BBC: "Tens of millions of Americans want to enjoy Scotland's national dish.
"If we managed to get into that market that would create jobs back here in Scotland and millions of pounds to the Scottish economy."
Any changes to the recipe would only be for the US market, according to Simon Howie.
The Perthshire-based butcher added: "Haggis is eaten by a large proportion of the Americans who visit Scotland so it makes sense to get the product on the shelves of their home supermarkets.
"Haggis is always a talking point."
The control of fire services in Wales should be offered to police and crime commissioners (PCC), it has been argued.
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Haggis imports have been outlawed in the US for more than 40 years.