No club from the West African nation had ever reached the final before, never mind lifted the trophy, as the competition rounds off its 11th edition.
Recent omens do not looked good for Rigo Gervais' side ahead of the Robert Champroux Stadium clash, having already met the Cairo giants in this season's competition.
The sides played out a 1-1 draw in Abidjan, though Al Ahly inflicted a 1-0 defeat - Sewe's only loss of their Group C campaign - upon the Ivorian club in Egypt.
Gervais is keen to learn from that loss and make amends on the biggest stage.
"The ideal score would be for us to win 2-0 ahead of the return leg," Gervais said.
"The squad is in full form. We have been preparing for weeks and the spirit is great.
"We are going to win to make history. It is our will to win and our determination that will allow us to go even further."
Just a year after securing a record-breaking eighth CAF Champions League title, Al Ahly are once again on the hunt for silverware.
A packed trophy cabinet sees the Egyptian club regarded as the world's most successful in terms of titles won.
And Al Ahly's first-ever, Spanish coach Juan Carlos Garrido, is determined to win his first continental trophy after securing success in the Egyptian Super Cup in September.
"It would be a great honour for me to win an African trophy in my first year with the team," Garrido said.
"I came to Ahly to win titles, and the CAF Confederation Cup is an important one for us. I know Ahly has never won that trophy and this is a great motivation for us to win it this year."
Garrido is also taking heart from his first game in charge of Al Ahly - the victory over Sewe earlier in the competition.
He explained: "My first game at Ahly was against them [Sewe Sport]. We did well that day and won thanks to Walid Soliman’s penalty.
"What I can say that we will do our best to have a good result away, and then finish the mission at home."
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