Behailu Assefa opened score for the Ethiopians before Emmanuel Emenike levelled the game and then scored the winner from the spot.
The Ethiopians dominated the opening half with short passes but the first real chance fell to Nnamdi Oduamadi who missed from close range by side-footing wide while unmarked after 21 minutes.
Two minutes later the Ethiopians had their chance. A short interchange of play by the Ethiopians freed up Gebreyes Adane Girma who shot tamely at Vincent Enyeama.
And on 25 minutes, Said Salhadin controlled the ball exquisitely with his first touch, tapped it past Enyeama but Godfrey Oboabona cleared off the line with Salhadin celebrating away to raise the goal technology question of 'did the ball cross the line?'
In the 32nd minute, Ahmed Musa tried from long range to force a save out of the Ethiopia goalkeeper Jemal Tassew.
Seven minutes to the break, Adane Girma dribbled his way through the forest of legs in Nigeria's defence to give himself a sight at goal but his attempt went wide from the edge of the box.
Inside of added time in the first half, Salhadin again did well with his first touch to cut inside of Efe Ambrose before shooting at goal but Enyeama palmed it away to safety.
The restart was no different from the first 45 minutes as the Ethiopians continued with large share of possession.
On 57 minutes, out of nothing the Ethiopians scored. Behailu Assefa's cross squeezed past the line after Enyeama reacted late in catching the ball.
The lead lasted just 10 minutes as Emenike's shot all from 25 yards beat Tassew in Ethiopia's goal.
Nigeria then raised their game and in the 77th minute, John Obi Mikel threaded a pass to Musa, whose shot came off the upright. It was a huge let-off for the East Africans.
But with a minute to time, Hailu Reda Aynalem upended Emenike in the box for a late penalty.
Emenike stepped up and scored the winner by sending Tassew the wrong way.
The African champions take the advantage into the return leg in Calabar on November 16.