Rui Vitoria's side were on top from the first whistle, but they missed a good early chance to take the lead when Pizzi curled just wide after being gifted space on the edge of the box.
Setubal looked to be frustrating the Benfica attack by keeping numbers behind the ball, before the opener arrived as Pizzi held off a challenge in the box to find the bottom corner with a powerful strike.
Any hopes of a response were dealt a blow when the visitors doubled the lead seven minutes before the interval through Jonas, who found the space to head home from Andre Almeida's cross.
Benfica punished poor defending to put the result beyond doubt early in the second half when Kostas Mitroglou sprinted clear to collect a long ball before firing past the onrushing Ricardo.
The deficit was reduced by the hosts five minutes later as Suk Hyun-jun skipped a couple of tackles to hit the post, before Vasco Costa capitalised to slot in from the rebound.
Setubal enjoyed long spells on top in the second half, but Julio Cesar protected Benfica's two-goal advantage with a fine save to push Frederico Venancio's shot to safety.
However, the champions pulled further clear 12 minutes from time when Mitroglou's strike hit the post before coming off Ricardo to leave the goalkeeper with no chance of keeping out the own goal.
The hosts scored their second of the night late on when Costa's wayward strike was diverted in by the outstretched leg of Suk, but it was just another consolation on a night when Benfica deserved the points.