We study approximation properties generated by highly regular scaling functions and orthonormal wavelets. These properties are conveniently described in the framework of Gelfand-Shilov spaces. Important examples of multiresolution analyses for which our results apply arise in particular from Dziubański-Hernández construction of band-limited wavelets with subexponential decay. Our results are twofold. Firstly, we obtain approximation properties of multiresolution expansions of Gelfand-Shilov functions and (ultra)distributions. Secondly, we establish convergence of wavelet series expansions in the same regularity framework.2010 Mathematics Subject Classification. 42C40, 46E10, 46F05, 46F12.