The Socceroo talisman played a full match but was unable to find the breakthrough for his side, who were forced to settle for a 0-0 draw.
But the result means Shanghai need only to win the second leg in front of their home fans at a packed Hongkou Stadium next Sunday to win the FA Cup.
Victory would be huge for the club, who haven’t won major honours for 17 years.
An FA Cup triumph would also see Shanghai Shenhua qualify for next year’s AFC Champions League and a potential match-up against a Hyundai A-League club.
Champions Melbourne Victory, Sydney FC and Adelaide United will be the A-League’s representatives in the 2016 competition.
Cahill has been in superb form of late and scored four goals in the Socceroos’ recent two FIFA 2018 World Cup qualifiers against Kyrgyzstan and Bangladesh respectively.
It’s taken his international tally to an impressive 45 goals in just 88 appearances for the green and gold.