A win would have been a tough ask for Lidoda Duvha, as ahead of this last 16, first leg tie, Wolves had won four from four in the competition so far. In addition, Leopards faced a daunting record: in Nigeria only 3.8% of matches are won away.
The match started slowly, with Leopards looking the better side. Tiyani Mabunda was the busiest up front, creating two scoring chances, while Humphrey Khoza was solid in defence.
Wolves lost top striker Jude Aneke after just 15 minutes following a thigh injury.
The South Africans scored first, with Raymond Monama hitting home with a tap-in, but the Nigerians equalised on 32 minutes, young striker Augustine Amutu scoring with an overhead kick after a set-piece.
The teams went into the break at 1-1, but shortly after half-time the humidity started to prove too much for the visitors, and they conceded two quick-fire goals, a second from Amutu and a third from Gift Atulewa.
Davi Banda had a chance to give the scoreline more respectability late on, but his one-on-one with the goalkeeper came to naught, and the match ended 3-1.
Warri Wolves will face Leopards in Polokwane on May 11-13, where the South Africans will need at least a 2-0 win to go through.
Leopards line-up: Maphaha, Mabusela, Kwena, Tshabalala, Khoza, Banda, Mabunda, Monama (Bobe), Ramagalela (Zulu), Obaje, Madimba (Mapolisa)