Alessia Russo's superb strike means that Arsenal take a 3-1 advantage into their Women's Champions League quarter-final second leg against Chelsea.
A stunning Lauren James finish had halved the deficit for Chelsea, who also saw two goals ruled out, but the reigning champions put in too strong a performance at the Emirates.
Chelsea made a lightning-quick start, twice catching Arsenal out down the right as both Alyssa Thompson and Lauren James struck the inside of the far post after slack defending from the hosts in the opening eight minutes.
But Arsenal scored against the run of play after a Katie McCabe free-kick was glanced past a helpless Hannah Hampton by Stina Blackstenius in the 22nd minute.
Chloe Kelly then doubled their lead 10 minutes later, latching onto Beth Mead's lay-off to bend a lovely shot into the bottom-right corner from outside the box.
Shortly before the break, Veerle Buurnam rose above Laia Codina to nod the ball in from close range before the Spaniard went down under little pressure, and the goal was ruled out.
James pulled Chelsea back into the game in the 66th minute. Arsenal failed to clear their lines from a corner, and the 24-year-old chipped an excellent long-range effort over the crowd and Anneke Borbe.
Russo then drilled a pinpoint strike into the bottom-left corner to restore Arsenal's lead 10 minutes later before Kadeisha Buchanan bundled the ball over the line in stoppage time, though it was ruled out for a foul on Borbe.
Data Debrief: A familiar story for Chelsea
Chelsea went winless in their two Women's Super League meetings with Arsenal this season (D1 L1), but they could not stop that run on Tuesday.
This is the first time they have played three or more games against the same side in a campaign without winning at least one match since 2018-19 (D2 L2 versus Manchester City).
It was not for lack of trying, though. Chelsea finished with more shots (14 to 12) and a higher expected goals (xG) tally (1.47 xG to 1.43), while both sides finished with six attempts on target.
But it was Russo who dealt the potentially biggest blow. She has now scored eight goals in the Champions League this season, setting the outright record for the most goals by an English player in a single edition of the competition.