The Brazilians secured their place in the competition proper with a 7-1 aggregate Second preliminary round victory over Nigeria's Remo Stars.
They have since been drawn to face Mokwena's side, MC Alger, DR Congo team St Eloi Lupopo and Sudanese club Al Hilal.
Mokwena is at his second club since leaving Sundowns but this will be the first time he will face his former team.
Speaking after the draw, Zwane said on iDiski Times: "That's Champions League for you, you can't choose who you want to play, but it is an exciting group.
"We have a good team to compete with quality players, we have to bring our A game to all the matches and try to put the team where it can qualify for the next round.
"Lupopo, we watched them against [Orlando] Pirates and we will analyse them again, we know what to do and what to expect from them. Coach Rulani is a good coach and we know him and he knows us.
"It will be an exciting game to watch when we play against them. But for us, we will go there to win the game, not to prove a point but to put the team in the right position to qualify."
Golden Arrows coach Manqoba Mngqithi has voiced concern over Mamelodi Sundowns' recruitment strategy, warning that the club's reliance on foreign signings is weakening Bafana Bafana.
Mamelodi Sundowns were held to a 1-1 draw by Siwelele in their Betway Premiership encounter at Dr Petrus Molemela Stadium on Wednesday.
Aubrey Modiba has urged Mamelodi Sundowns to remain focused on the job at hand as they prepare to face Siwelele, while attempting to catch Orlando Pirates.
Mamelodi Sundowns battled to a gritty 0-0 draw against MC Alger in a feisty CAF Champions League showdown on Friday night.
