Ali Maaloul, Percy Tau, Aliou Dieng and Ahmed Abdel Kader were recalled by Ahly following the 1-1 draw against Ceramica Cleopatra in the Egyptian Premier League last week.
The holders made a fast start on two minutes after Taher Mohamed finished off a looping ball in the area, but the Video Assistant Referee (VAR) reviewed called an offside.
It turned into an eventful first half particularly for Ahly, who saw Ahmed Abdel Kader create space near goal and rattle the woodwork before Hussein El Shahat curled against the post too seconds later.
Ahly were rewarded for their dominance as Tau beat the offside trap to head in a well-weighted ball into the six-yard area.
Setif's disjointed start were compounded on 35 minutes when Amir Karaoui had a yellow card upgraded to a red due to a poor tackle that was deemed a dismissal according to VAR.
The Algerians first opportunity came on the stroke of halftime after Hicham Belkaroui snapped a clever ball from a free-kick wide of the near side.
Setif continued to chase shadows over ten minutes in the second half and were two goals down after good work from Tau in the area saw Mohamed pounce and head in from close-range.
Ahly could've secured a third a couple of minutes later through a clever shot from a tight angle by Tau, but the post rescued the visitors.
With Mohamed Sherif and Luis Miquissone on, Ahly secured a third after a quick pass into space from Tau played in Sherif, who ran in behind and finished into the far corner.
The fourth goal arrived soon after as neat passing move saw Mohamed Hany deliver a low square pass to Tau for the close-range finish.
In the end, the Cairo Red Devils cruised to a resounding semi-final first-leg victory ahead of the return-leg next weekend.