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."
The control of fire services in Wales should be offered to police and crime commissioners (PCC), it has been argued.