Thapelo Tshilo missed his penalty in the shootout to send Sundowns into the Supa8 Final, where they will face the winners of Supersport United and Orlando Pirates, who play on Thursday night.
The match was very disappointing with a lot of mistakes from both sides and lots of stoppages for fouls and injuries. Sundowns had more possession especially during the first half but could not make their chances count.
Cosmos, to their credit, defended well and got stronger as the game progressed but never really looked like they would score.
In the 7th minute Gift Leremi hammered a direct long-range free-kick which forced Cosmos keeper Avril Phali to make a save pushing the ball over the bar for a corner.
A minute later Lerato Chabangu nearly scored when he hit a deep cross with a first time shot, the ball going narrowly past the upright.
The Brazilians came very close to scoring again in the 28th minute when the ball was cleared off the Cosmos goalline by a defender after the ball was headed towards goal from a corner.
Phali made a great save in the 41st minute to stop Oscar Ntwagae from scoring with a header from a corner.
Chabangu hammered a shot wide of the Cosmos goal to end the half that was dominated by Sundowns.
In the second half there were very few chances.
In the 91st minute Cosmos nearly got the winner when Davies Mwape got the ball and ran forward to hammer a shot straight at Baloyi which he saved.
The match ended 0-0 at full time and then went to 30 minutes of extra-time.
The game ended goalless with no real chances after extra-time and then went to a penalty shootout.
Sundowns won the penalty shootout 5-3 with Thapelo Tshilo missing his penalty, the ball hitting the post.