The Liga outfit cruised to victory in Kazakhstan on Thursday in the first leg of their play-off as they put one foot in the competition proper.
Goals from Ruben Garcia, Giovani dos Santos and Mario Gaspar gave Villarreal their win against 10-man Astana, but Marcelino has urged his men not to get ahead of themselves.
"It's a huge step but we can't think it's done," Marcelino told Marca.
"They [Astana] have quality players, a lot of rhythm and the synthetic pitch gave them an advantage.
"We were favourites because we come from a great league but we have respected our opponent and have made a great defensive and offensive environment for work.
"We haven't been overwhelmed and the second goal early in the second half has been very good for a favourable outcome.
"I liked pretty much everything about the game. It was the first of the season and fatigue was an influence.
"Perhaps without that we would have scored another goal but we leave satisfied."
Villarreal open their Liga campaign at Levante on Sunday.
They will host the return leg of their play-off against Astana on Thursday, with a spot in the group stages of Europe's second-tier competition up for grabs.
