The teams are vying for a place in the final against the winners of the other tie between Brazil's Santos and Cerro Porteno of Paraguay. Santos lead 1-0 after Wednesday's first leg in Sao Paulo.
The Uruguayans took the lead on the stroke of half-time when veteran left-back Dario Rodriguez scored with a diving header from a corner that gave goalkeeper Marcelo Barovero no chance.
"We know it's a small lead (but) the tie finishes there (in Buenos Aires) and we'll go to play (the second leg) as you do this kind of match," Rodriguez told Fox Sports, referring to Penarol's experience of top club encounters.
"We'll turn it round in the second leg," Barovero countered. "We controlled the ball and only lacked a goal."
The first decent chance fell to Penarol in the seventh minute with Barovero making a diving save to prevent a long-distance Luis Aguiar shot from finding the top right-hand corner of the goal.
Velez then had two chances in quick succession, both laid on by Juan Manuel Martinez, midway through the first half with keeper Sebastian Sosa diving to save from midfielder Ricky Alvarez and left back Emiliano Papa scooping over the bar.
DISALLOWED GOAL
Penarol's Argentine striker Alejandro Martinuccio might have put the home side ahead close to the half hour but he shaved the post when he turned a cross from the left goalwards.
Velez, looking for a second title after winning the South American crown in 1994, pinned Penarol back in the second half but could not find a way through a packed defence except when Martinez had a goal disallowed for handball.
Barovero only had a couple of high balls to deal with throughout the second half but up front, Velez lacked the usual bite which brought them 24 goals in 10 previous matches in the competition.
"I'm pleased because the most important thing was to win and then maintain our goal intact, which we managed," Penarol coach Diego Aguirre said.
"Velez make you play to their rhythm and it's hard to pressure a team with such good control of the ball," he said, explaining his team's fatigue in the second half.
"We have 90 very hard minutes to go."
