Niger international Kamilou Daouda scored the only goal of the game with a header in the 32nd minute of Sunday’s game.
It was Daouda’s sixth goal of the tournament.
Coton Sport were strong in defence, with Daouda often the only man upfront.
Dynamos captain Murape Murape could have equalised on 62 minutes, but his overhead kick inside the penalty box flew over the bar with only keeper Daouda Kassali to beat.
The result leaves Dynamos with a very difficult task in the second leg on the weekend of 18-19 October, but fans will still hold some hope given their away record in the competition.
The Zimbabwean side beat holders Etoile du Sahel and Ivory Coast’s Asec Mimosas away from home.
The other semi-final, between Nigerian side Enyimba and five-time champions Al Ahly of Egypt kicked off at 1500 GMT.