English star Nikita Parris headed in the opener on the half hour mark for the seven-time winners. However, they had to wait until injury time at the end of the game for a second goal delivered by Melvine Malard.
It was Lyon's 400th European goal but the French side failed to impress against a team who are only second in the Danish league and had played just once in the last five weeks.
Lyon had 21 attempts on goal in the first half but only five were on target while Brondby were unfortunate when Nanna Christiansen saw an early free-kick come back off the crossbar.
Bayern Munich trounced Kazygurt of Kazakhstan 6-1 in their first leg tie for a 19th successive win in all tournaments this season.
Lineth Beerensteyn and Lea Schueller gave the Germans a 2-0 lead at the break with Linda Dallmann (2), Hanna Glas and substitute Karolina Lea Vilhjalmsdottir adding to the scoreline.