The reigning European champions conceded to a Nikola Vlasic strike just 66 seconds into the match and failed to find a response, leaving them with plenty of work to do if they are to reach the last 16.
Los Blancos, who hit the woodwork three times across the 90 minutes, are third in the Group G standings after two rounds of matches, a point adrift leaders CSKA following this famous result at the Luzhniki Stadium.
The Red-Blues opted to go with a four-man defence for the first time in Europe under Viktor Goncharenko, and it paid off immediately as Vlasic scored what turned out to be the winner a little over a minute into the match.
Everton loanee Vlasic, who salvaged a late point for the hosts in their opening group fixture against Viktoria Plzen, pounced on a stray Toni Kroos pass and tucked the ball out of Keylor Navas's reach.
That was the seventh time Madrid have shipped a first-half goal in their last eight away matches, but of more concern to boss Julen Lopetegui would have been his side's run of two games without scoring prior to this one - a run that would extend in the Russian capital.
Benzema would come a little closer later in the half when sending the ball spinning onto the crossbar with his header, while Casemiro's shot from range hit the post on its way through.
Igor Akinfeev also had to be alert to keep out Dani Carvajal's shot from a tight angle - that proving to be the right-back's last involvement in the match before being replaced by Alvaro Odriozola because of a niggling injury problem.
CSKA also had opportunities to extend their lead, however, with Nikita Chernov heading over from a good position in the box and goalscorer Chalov then finding the target with his latest attempt, only for Navas to keep it out.
Modric, whose last appearance at this ground was in the World Cup final for Croatia, arrived with half an hour of the match to play but could not provide the finishing touch in front of goal that his side lacked all evening.
Other than a well-struck Marco Asensio shot, which Akinfeev was equal to, the Spanish giants had little to show for all their possession in the opening 25 minutes of the second period.
Asensio blazed another shot high and wide, taking Madrid to 18 shots for the night with three-quarters of the match played, and Kroos's latest wayward drive took the visitors past the five-hour mark without scoring a goal.
Sergio Reguilon almost marked his senior debut with a dramatic leveller, only to be denied by Akinfeev with his deflected shot, and Mariano then rattled the woodwork after climbing high in the final minute of normal time.
There was still time for more late drama, as Raphael Varane glanced wide from right in front of goal, before Akinfeev was shown two yellows in quick succession for dissent.
Rookie keeper Georgy Kyrnats saw through the remainder of the eight added-on minutes as his side claimed a famous win - and just a second clean sheet in 47 Champions League outings - to overtake their opponents in Group G.
CSKA MOSCOW (4-2-3-1): Akinfeev (Kyrnats 97'); Fernandes, Becao, Chernov, Nababkin; Bijol Akhmetov; Vlasic, Dzagoev (Efremov 65'), Oblyakov; Chalov (Sigurdsson 75')
REAL MADRID (4-3-3): Navas; Carvajal (Odriozola 43'), Varane, Nacho, Reguilon; Casemiro (Modric 58'), Kroos, Ceballos; Vazquez (Mariano 58'), Asensio, Benzema