Lyon, whose eight Champions League titles makes them the most successful club in the competition's history, started well and exerted plenty of pressure, but PSG soaked it up comfortably before hitting them with a pair of sucker punches.
PSG striker Marie-Antoinette Katoto broke the deadlock in the 44th minute as Lyon defender Ellie Carpenter sagged off her, leaving her just enough space to rifle a low drive into the net despite losing her balance in the process.
Three minutes into the second half Katoto struck again. Played onside by Selma Bacha, Katoto latched on to a blocked shot and pulled the trigger quickly to double her side's lead.
That goal provoked a strong response from Lyon but it took until the 80th minute for them to pull a goal back, Kadidiatou Diani toe-poking the ball into the bottom-left corner to set up a frenetic finish.
Five minutes later Lyon were level as Melchie Dumornay curled a sensational effort into the top corner, and a minute later substitute Amel Majri grabbed the winner with a superb turn and shot.
Earlier in the day, Chelsea pulled off a sensational 1-0 win away to Barcelona in their semi-final first leg, with Scottish midfielder Erin Cuthbert getting the only goal of the game in the 40th minute to hand Barca their first defeat of the season.
Chelsea host Barcelona for their second leg at Stamford Bridge next Saturday, while Lyon travel to PSG on Sunday for the second instalment of their tie.
