Karim Benzema's 17th minute goal was the difference between the sides in which Sevilla worked hard, but lacked the creativity to break down an organized Madrid side.
Real Madrid coach Jose Mourinho decided to change his usual tactics to play Xabi Alonso, Sami Khedira and Lassana Diarra in a defensive three-man midfield.
Meanwhile Cristiano Ronaldo and Benzema played in attack with Mesut Ozil in support.
Sevilla coach Gregorio Manzano put his faith in Luis Fabiano, who scored a hat-trick against Levante at the weekend, and Freddy Kanoute, while Sergio Sanchez showed his adaptability by filling in at right back.
The game kicked off in an incredible atmosphere as the fans in a packed Sanchez Pizjuan stadium looked to get behind their side.
Nevertheless, Mourinho's tactics paid off in the 17th minute when Benzema scored his second goal in two games after a mazy run. The French striker looks to have recovered his confidence at the right time.
Real Madrid looked to be in control as Sevilla lacked creativity in midfield, but the first half ended with a note of controversy as Luis Fabiano took the ball round Madrid keeper Iker Casillas. His goalbound shot got tangled up with Raul Albiol, who hacked the ball away.
Television replays showed the ball may have crossed the line, but it was a virtually impossible call for the linesman who only had one chance to make a decision.
The disappointment didn't spur Sevilla on to better things in the second half and Madird again looked comfortable: Alonso saw a shot flash by the post and Mourinho's side should have doubled their lead when Ozil shot wide from close range after Ronaldo had taken the ball round Sevilla keeper Andres Palop.
Sadly the game ended with ugly scenes after Madrid keeper Iker Casillas was hit by an object thrown from the crowd. Fortunately Casillas didn't suffer a serious injury and was able to talk to the cameras as soon as the game finished.
The returns leg will be in the Santiago Bernabeu Stadium next week.