Sundowns drew 0-0 with Ethiopia's Saint George on Saturday as Ahly suffered the same score against Zanaco of Zambia.
Sundowns, who defeated Zamalek in the 2016 final to lift the trophy,  found it difficult to break down an impressive Saint George defence in Pretoria.
The hosts dominated play, squandering several good scoring chances, including one for Sibusiso Vilakazi during the second half when he shot wide.
Saint George, who defended in depth, had Ugandan goalkeeper Robert Odongkara to thank after he made several fine saves.
Before the match on Saturday, Sundowns coach Pitso Mosimane had said fixture fatigue could threaten their hopes of successfully defending their Champions League title.
The result highlights the progress Saint George continue to make on the continental scene, whilst the holders are already behind in Group C after Tunisian side Esperance beat DR Congo's AS Vita Club 3-1 on Friday.
Saint George, the first club from Ethiopia to make the group phase, won all four of their qualifiers and will be looking to continue that form in the remaining games of the group phase.
Later on Saturday night, record eight-time champions Al Ahly of Egypt drew 0-0 with Zanaco of Zambia in Alexandria in Group D.
Ahly wasted a great chance to snatch victory in stoppage time when Ivorian Souleymane Coulibaly failed to beat Zanaco goalkeeper Toaster Nsabata from close range.
The Champions League group phase has been expanded from eight clubs to 16 this season.
Holders Mamelodi Sundowns of South Africa and record eight-times winners Al Ahly of Egypt were both surprisingly held to goal-less draws at home at the start of their African Champions League group campaigns.