The MTN8 is the one title that has eluded Sundowns since coach Pitso Mosimane took over the reins from Dutchman Johan Neeskens in 2012.
Sundowns, who began their Absa Premiership campaign with a 1-1 draw against Kaizer Chiefs over the weekend, will host Golden Arrows in the first round of the MTN8 at Loftus Stadium on Saturday (15h00).
Sundowns were in the final of the competition in 2016, but lost out to Bidvest Wits at Mbombela Stadium.
"It’s that one trophy that has really abandoned us, but we believe we have the squad [to win it]. We just need to stay focused because it’s a knockout and sometimes you want to rush and win it as quickly as possible, which is very difficult," Onyango says.
"We will take it a game at a time. We are starting with Golden Arrows and they are a very tricky team with a lot of pace. We will be happy to get to the final. Last time we lost to Bidvest Wits in the final, but I believe we will win it this time if we go all the way to the final."