Marcus Rashford put United ahead when he superbly collected Victor Lindelof’s long pass and slid a finish past home goalkeeper Rui Silva.
Yangel Herrera, on loan from Manchester City, hit the outside of the post for the Spanish side and ex-Tottenham striker Roberto Soldado also fired wide.
United doubled their lead late on when Bruno Fernandes squeezed a penalty past Silva after Yan Brice fouled the Portuguese midfielder.
The second leg is at Old Trafford in a week’s time with the aggregate winners advancing to a semi-final against either Ajax or Roma, with the Italian side leading that tie 2-1 after the first leg in the Netherlands.
United have now only lost one of their past 17 matches in all competitions, but will be without midfielder Scott McTominay, left-back Luke Shaw and central defender Harry Maguire for the second leg as they will all be suspended after picking up bookings in Spain.