The Euro 2016 semi-finalists are up against it in the Serbian capital without star man Gareth Bale against the Group D leaders Sunday.
A 45,000 sell-out crowd is expected at the noisy Rajko Mitic Stadium.
Serbia skipper Branislav Ivanovic has described the qualifier as the most game for them in recent years.
Wales boss Coleman says the pressure is on Serbia as they have not made a tournament since the 2010 World Cup.
Coleman said: “If fingers are pointed at them, they have underperformed in the past four or five years considering the talent they got.
“I understand there is a lot of pressure on them.
“But it is a great game to come here for us.
“We thrive on this, these are challenges you don’t want to miss and you want to be involved in, playing infront of a full stadium in Belgrade against a good strong team.”
Coleman stressed Wales must avoid defeat if they are to overhaul Serbia to keep alive their hopes to automatically qualify for Russia next year.
He is without Real Madrid superstar Bale, who has 26 goals in 66 caps, but insists the visitors can still cope.
Coleman added: “Gareth is who he is , he is one of the best players in the world.
“But you don’t lose because of one player.
“With what we have got I am confident.
“We have enough in our ranks to make sure it is a positive outcome.
“What we are for any opposition is a real tough 90 minutes for any team and I am proud of that.”
Skipper Ashley Williams, 32, said: “As a team we live for these nights.
“We love being up against it in a different country against a difficult team.
“These are the kind of games we love – you are working hard and backing your mate up.
“We are very resilient and are a gritty team.
“It is a chance to go out and show our togetherness and hopefully get the result we want.”
Wales assistant Osian Roberts said: “One thing for sure is if we are at our best we will get something from the game.”