West Ham's miserable start to the season continued as substitute Adama Traore won the game for Wolves in injury time.
Traore fired home in the 93rd minute after it looked like the hosts would earn their first point of the campaign.
The result gives Wolves their first top-flight win since 4 February 2012, and means West Ham have lost all four league games under Manuel Pellegrini.
Michail Antonio and Marko Arnautovic spurned West Ham's best chances.
The home side had one of their best openings after just four minutes, when Felipe Anderson's shot forced Wolves goalkeeper Rui Patricio into action.
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But a tame first half saw neither side assert themselves, with Matt Doherty's shot on target the only worrying moment for West Ham keeper Lukasz Fabianski.
Patricio denied Antonio and Arnautovic with excellent blocks after half-time, the latter when the Portuguese stopped a shot with his face, as West Ham improved markedly - but it was Wolves that took the points.
Raul Jimenez tripped over the ball when free inside the area late on with what looked to be the visitors' last chance, until Traore's dramatic intervention in stoppage time.
Worrying signs for West Ham
The defeat means West Ham have lost their first four games of a league campaign for only the second time.
The previous occasion sets a worrying precedent, as that season - 2010-11 - ended in relegation.
That scenario is a long way away from what the Hammers were imagining when they recruited Pellegrini, a Premier League winner with Manchester City at his first attempt in 2013-14, as manager.
They lacked bite in the first half but created more chances almost from the start of the second, when Andriy Yarmolenko replaced Robert Snodgrass.
Striker Javier Hernandez remained on the bench until the 75th minute, although the Hammers looked the likelier to break the deadlock.
But Carlos Sanchez lost the ball in his own half deep into stoppage time, and within seconds Wolves had seized their chance to ensure West Ham remain rooted to the foot of the Premier League table.
Wolves have bite and menace
Wolves were also without a win before their visit to London Stadium, but the second of their two points before kick-off had come from a spirited display in a draw with Pellegrini's former club and reigning champions Manchester City.
Possibly inspired by that result, they were the better side before the break with Helder Costa and Joao Moutinho driving Nuno Espirito Santo's side on.
Jimenez's moment to forget, when the Mexican striker was put in on goal by a fine pass from Ruben Neves only to get the ball trapped between his feet, could easily have knocked last season's Championship winners off their stride.
But they took their chance at the crucial moment with Traore's crisp finish, and are showing signs they will pose problems for the rest of the Premier League this season.
Man of the match - Joao Moutinho (Wolves)
What the managers said
West Ham manager Manuel Pellegrini:
"I don't think it is a bad start, it is a very bad start. We can't lose six points here at home like we have. Playing away against Liverpool and Arsenal and you don't play so well is understandable. Here at home to lose we must be very worried.
"In the first half we didn't play like the home team looking for three points. The second we improved a lot, made that mistake in the last minute that lost us the game.
"In the training ground we are doing well, no lack of attitude. We have to take that work during the week to a game where there is that added pressure. It is just to four games , we won't stop fighting now. We are just starting and will resolve that problem"
Wolves manager Nuno Espirito Santo:
"It feels good, even if we didn't win the boys worked hard. Both teams could have won but in that moment were more in control. We were in control in the first half. Happy for the fans, it is massive to come a long way and get three points.
On their goal: "Sometimes in the moment both could have won, West Ham had a chance late, to get the goal means we recovered the ball so high up the pitch, our midfielder recovered it and that says so much about the team. The boys did well.
"The confidence comes from performances not results. From the first day of the season we are improving even without results. When you establish your standards and we reach them that means growth, today we did it. Now international break and we go again."
The facts you may have missed
- Manuel Pellegrini is the first West Ham manager to lose his first four Premier League games in charge since Avram Grant.
- West Ham have lost three consecutive Premier League home games versus newly promoted sides for the first time.
- Wolves' Adama Traore scored the club's first ever 90th-minute match-winning goal in the Premier League.
- Traore scored his first league goal in 13 appearances, having not netted since March vs Brentford (for Middlesbrough).
- Wolves ended their longest ever winless run in the top flight, having previously gone 17 games without a win in the Premier League.
Both sides are back in action on Sunday, 16 September, with Wolves at home to Burnley at 13:30 BST while West Ham are away to Everton at 16:00.