The Algerian hosts were 3-0 ahead by half-time thanks to El Hadi Belameiri and a double from Hacine Ogbi Benhaddouche and things got even worse after the break.
Rachid Nadji and Akram Djahnit added two more in the second period, giving Setif a comfortable advantage and effectively securing their place in the next round.
Leopards de Dolisie also recorded a strong first-leg win as they beat Primeiro de Agosto of Angola 4-1 at home.
The hosts went into the tie in superb form having won 11 of their last 13 in all competitions, with the other two games ending in draws against Rayon Sports.
Ary Papel pulled one back for the visitors after they fell two goals behind, but second-half strikes from Kalema Ntela and Cesaire Gandze wrapped up a comfortable win.
Four-time winners TP Mazembe have given themselves a good chance of progression after picking up a 1-1 draw at Les Astres.
The visitors broke the deadlock in the 65th minute as Zambia international Jonas Sakuwaha converted a penalty, but they could not hold on to a valuable away win as Franck Namatchoua equalised 10 minutes later.
BYC and Sewe Sport played out a thrilling 3-3 draw in Monrovia ahead of the return leg, while Tunisian side CS Sfaxien hold a 2-1 lead going into their home leg against Ethiopians Dedebit thanks to Zied Derbali's 74th-minute winner.
Real Bamako won by the same scoreline at their hosts Enyimba.
Al Ahli Benghazi managed to score an away goal in their clash in Ghana against Berekum Chelsea, with the match ending 1-1 , while Horoya AC take a slender 1-0 lead over Raja Casablanca into the return leg in Morocco.
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