After a barren draw, the two sides had to be separated by penalty shootout and it was K'Ogalo, who came out victors following a 5-4 win.
AFC Leopards Team Manager Gilbert Selebwa left Nakuru with his head held high despite his side missing a ticket that would have seen them play English Championship side Hull City FC.
"We played well. The likes of Marvin Omondi, Jeffrey Awiti do not have much experience in the top tier, but they were outstanding.
“Holding an experienced team for the entire game is not a joke, it is a vital learning process for us and for sure, we will beat them in the league at Bukhungu.
"We are still building a team. We are almost through with the process soon we shall be unbeatable," Selebwa told Goal.
Following Saturday's result, Gor Mahia will tackle English side Hull City on May 13.