It is Cosmos’ third loss in the League – while they are also yet to win – which leaves them with only three points from six matches and second from bottom on the table.
Downs, on the other hand, registered their second successive win to see them move up to sixth with ten points.
Sundowns controlled the early possession, but it was Cosmos who had the first shot on goal in the 12th minute, but Sipho Mngomezulu saw his stinging long-range effort sail inches over the crossbar.
Five minutes later Brice Aka latched onto a long ball from defence, but his 16-yard shot was well saved by Dennis Onyango, low and to his left.
Ten minutes later, however, Sundowns took the lead with Dolly scoring his first for the club after heading home a perfect left-wing cross from Themba Zwane.
Sundowns nearly doubled their lead in the 48th minute after a low left-wing cross from Katlego Mashego saw Zwane meet the ball, but Naicker denied him brilliantly from close range.
In the 67th minute some great build-up play from Sundowns saw a left-wing cross from Dolly chested into the path of Anthony Laffor by Zwane, but the striker fired inches over with a first-time volley.
Aka and Charlton Mashumba came close for Cosmos from range, but the Brazilians made sure of the points in time added on when Anthony Laffor set up Dolly for the easiest of chances.