The Red Devils recovered from an early goal down on their final outing before the tournament gets underway, making it 19 matches without defeat in a run spanning close to two years.
Romelu Lukaku produced a couple of impressive finishes, one with his boot and the other with his head, while Dries Mertens - later subbed with a suspected hamstring injury - and Michy Batshuayi also registered for the dominant hosts.
An early chance for Oscar Duarte aside, with the centre-back getting his contact all wrong on a half-cleared corner, Costa Rica did not look like scoring either side of their surprise opener.
Geancarlo Gonzalez produced a fine tackle to keep out Eden Hazard's shot and Dedryck Boyata glanced a set-piece wide from a promising position, but then came the sucker-punch as Bryan Ruiz produced a fine left-footed finish.
The Sporting Lisbon winger, one of a number of current and former Premier League stars on display in the Belgian capital, watched the ball drop out of the sky and then guided it into the bottom corner from 19 yards.
For all Belgium's dominance, it took until that Ruiz strike for them to start troubling opposition keeper - and undisputed star man - Keylor Navas.
There was a slice of fortune to the Red Devils' opener, as Mertens converted from a few yards out after Hazard's scuffed shot fell perfectly into his path.
Navas then kept out Lukaku, who had an earlier penalty appeal rejected, before Jan Vertonghen's header was ruled out for offside.
The home side did take a lead into the break, however, thanks to Lukaku's volleyed finish from just outside the six-yard box to round off an impressive counter-attack.
Costa Rica, who made five changes to their starting lineup from the side that lost 2-0 to England four days ago, were further behind within five minutes of the second-half restart.
Half-time sub Nacer Chadli hung a cross towards the edge of the six-yard box and Lukaku showed good desire to get on the end of it and power his header past Navas.
A worrying moment followed for Roberto Martinez a minute or so later, though, with Mertens being replaced by Batshuayi after picking up an injury.
Martinez had little else to moan about as, after Kevin De Bruyne dragged a shot wide from the edge of the area, his side netted a fourth through Batshuayi.
The Chelsea striker had only been on the field for 12 minutes when Lukaku unselfishly laid the ball into his path for a simple finish, following some impressive build-up play from Hazard through the middle.
Lukaku, De Bruyne and Hazard were given a breather for the final quarter of the match, with the latter sustaining a minor knock, and it told as Belgium took their foot off the gas.
Thorgan Hazard blazed over when he should have been scoring and fellow sub Youri Tielemans tested Navas with a speculative effort, but in the end the third-best ranked side at this summer's finals were happy to settle for four goals.
BELGIUM (3-4-3): Courtois; Alderweireld, Boyata (Dendoncker 66'), Vertonghen; Meunier (Chadli 46'), De Bruyne (Tielemans 71'), Witsel, Carrasco; Mertens (Batshuayi 52'), Lukaku (T.Hazard 62'), E.Hazard (Dembele 70')
COSTA RICA (5-4-1): Navas; Gamboa (Smith 66'), Acosta, Gonzalez, Oscar Duarte, Oviedo (Calvo 46'); Bolanos (Guzman 62'), Tejeda, Borges (Azofeifa 76'), Bryan Ruiz (Campbell 66'); Urena (Venegas 46')