The goals game in each half, with Thamsanqa Gabuza and Oupa Manyisa finding the back of the net at the Stade Modibo Keita.
The Buccaneers took the lead after just five minutes. Thabo Matlaba passed the ball to Lehlohonolo Majoro, who set up Gabuza for a tap-in - and his first goal for the club.
However, it was one-way traffic for the hosts after that and the Pirates defenders were made to work their socks off against the strong-running Khaloum strikers.
A couple of free-kicks and long-range efforts whistled past Brighton Mhlongo's goals, but they managed to keep it level at the break.
Pirates were better at the start of the second half, with Gabuza and Majoro both missing good chances.
Mhlongo also had to be at his best on several occasions to keep out the home strikers, before Manyisa dealt the killer blow on 73 minutes when he volleyed home.
Siyabonga Sangweni cleared off the line late on as Pirates held on for the 2-0 win that gives them a distinct advange going into the second leg.