Sam Adams scored the solitary goal from the spot to ensure victory for the home side at the Nana Agyemang-Badu Park in Dormaa.
With the second leg set for March 16, the winner on aggregate progress to the group stage.
Although Aduana were predictably on top in the early minutes, the side struggled to threaten the Algerians until around the half-hour mark when Bright Adjei drove a shot just wide.
Setif continued to hold their own well in the first half, consequently raising the frustration of the home fans and forcing Zakaria Mumuni to try a shot from 30-yeards five minutes to half-time.
Back from recess, Aduana kept on probing for the first goal as Derrick Sasraku released a thunderbolt from range, shortly before Adjei wasted another opportunity.
In the 52nd minute, the home side almost broke the deadlock as it had to take a goalkeeper Moustapha Zeghba finger-tip save to deny Nathaniel Asamoah.
But there was a huge scare at the other end for the Fire Boys as Hamza Ait Ouamar got away from Anokye Badu and captain Joseph Addo, only to see his goal-bound effort cleared off the line by Elvis Opoku on 59 minutes.
Aduana messed up again when Abdul Rashed failed to finish off Mumuni’s good work, before the latter won a penalty two minutes later after being brought down in the box.
Sam Adams stepped up and expertly converted to make it 1-0 for the home side.
The goal seemingly awoken the sleeping Setif, who almost forced Badu to score in his own net.
In stoppage time, the Black Eagles had a glorious chance to make it 1-1 but Hamza Banouh, with only the goalkeeper to beat, shot feebly to the relief of the home fans.