The Sundowns goals were scored by Benson Mhlongo and Peter Ndlovu, while Anthony Laffor and Lethola Mofokeng were on target for Cosmos.
Three of the goals were scored in the last ten minutes with both sides throwing everything into attack.
The match was even in the possession stakes with both sides having lots of shots at goal, keeping Avril Phali and Calvin Marlin busy.
In the 25th minute Sundowns took the lead when Mhlongo received the ball 10-yards out and appeared to miss-kick, but the ball managed to roll over the goalline to give his side the lead.
Cosmos got the equaliser in the 81st minute when Laffor scored with a right-footed shot in the top corner from just inside the big box.
And five minutes later Cosmos took the lead when Mofokeng scored with a left-footed shot that flew into the top corner from 18-yards out.
In the 89th minute Sundowns equalised when Ndlovu scored with a shot from inside the box after receiving a pass from Manqoba Ngwenya.
In the end a draw was probably a fair result as there was very little to choose between the two sides.