Tanzanian striker Thomas Ulimwengu scored the first goal for Mazembe two minutes into the game with a header following an assist by Trésor Mputu.
But Entente Setif quickly leveled the score a minute later with a goal by defender Mohamed Khouthir Ziti.
Undeterred, Mazembe regained the lead with goals by Mputu on 16 minutes and Ulimwengu on 27 minutes to secure a 3-1 lead at halftime.
Tanzanian striker Mbwana Samata stretched the lead for Mazembe on 61 minutes while Khaled Gourmi scored the second goal for Entente Setif on 71 minutes.
The loss means that Entente Sétif are eliminated from the Confederation Cup.
With 10 points, Mazembe lead Group B and have already qualified for the semifinals with one game still to be played next Saturday against FUS Rabat of Morocco.
FUS Rabat could also qualify ahead of that game if they beat CA Bizertin of Tunisia away on Sunday.