Khuliso Mudau opened the scoring in the first half before Iqraam Rayners and Brayan Leon netted after the interval to give Masandawana a commanding lead heading to Mali next week.
Sundowns head coach Miguel Cardoso seven changes from the side that beat Orbit College in the Betway Premiership on Tuesday.
The South African outfit immediately started the contest on the front foot, asserting their dominance in possession.
Sundowns took the lead just after the half hour mark when Arthur Sales assisted Mudau, who fired his effort into the far-corner.
The strike was initially ruled offside but the Video Assistant Referee (VAR) approved the goal after replays confirmed the effort was good.
The home team doubled their advantage just 10 minutes after the halftime interval when Nuno Santos picked out Leon, who finished from close-range.
Sundowns showed no signs letting up and substitute Rayners volleyed home in the 64th minute after another superb cross from Nuno Santos.
Stade Malien had their opportunities but did not test Ronwen Williams enough in the Sundowns goal.
The Malian side will now have a huge task on their hands at home next week of they are to overcome the deficit and stay in the continental tournament.
Mamelodi Sundowns coach Miguel Cardoso is expecting a competitive and physical encounter against Stade Malien in the first leg of their CAF Champions League quarter-final.
Stade Malien head coach Mauril Njoya says his side are capable of springing a surprise by beating Mamelodi Sundowns in their upcoming CAF Champions League quarter-final.
Mamelodi Sundowns will be facing opposition from Mali for the first time when they host Stade Malien in the CAF Champions League quarter-final first leg on Friday.
Orbit College coach Pogiso Makhoye was disappointed with his side's defending as they went down 2-0 to Mamelodi Sundowns at Olympia Park on Tuesday night.
