The teams are vying for a place in the final against the winners of the other tie between Brazil's Santos and Cerro Porteno of Paraguay. Santos lead 1-0 after Wednesday's first leg in Sao Paulo.
The Uruguayans took the lead on the stroke of half-time when veteran left-back Dario Rodriguez scored with a diving header from a corner that gave goalkeeper Marcelo Barovero no chance.
"We know it's a small lead (but) the tie finishes there (in Buenos Aires) and we'll go to play (the second leg) as you do this kind of match," Rodriguez told Fox Sports, referring to Penarol's experience of top club encounters.
"We'll turn it round in the second leg," Barovero countered. "We controlled the ball and only lacked a goal."
Penarol's Argentine striker Alejandro Martinuccio might have put the home side ahead close to the half hour but he shaved the post when he turned a cross from the left goalwards.
"I'm pleased because the most important thing was to win and then maintain our goal intact, which we managed," Penarol coach Diego Aguirre said.
"Velez make you play to their rhythm and it's hard to pressure a team with such good control of the ball," he said, explaining his team's fatigue in the second half.
"We have 90 very hard minutes to go."
