The 2-1 defeat means that Downs can qualify for the final with a 1-0 win in the second-leg against the Zambian outfit at Lucas Moripe Stadium on Saturday.
“This campaign, we call it against all odds. Our destiny is in our hands,” Mosimane said.
“We played a well-rested Zesco. They play one game every seven days … you could see how they are.
“We have to do what we have to do. It is a one-time opportunity for us in the Champions League so we give our best.
“We do not go into complaining, but it is a little bit unfair. You saw the real Sundowns in the last 30 minutes. They have the heart and they fight against all odds.”
Mosimane added that Zesco’s game plan forced them to alter their style of play.
“Once you build from the back Zesco put four inside. They make you play long because they are on top of you,” he said.
“In the last 20 minutes, they retreated to secure the two goals. If they applied the same pressure it would not have been easy for us.
“They resorted to defending the two goals then they allowed [Hlompho] Kekana and Teko [Modise] to play, but in the first half they never allowed us to play.
“We played that (long) ball because it is four against four. You cannot build up, as they force you to kick. It is not that we were playing long balls, it is not our style.”
Downs are chasing only their second final appearance after missing out on glory against Egyptian giants Al-Ahly in 2001.