Chelsea, shorthanded by various injury and fitness concerns, went close to going in front inside seven minutes when Lucy Bronze released Alyssa Thompson down the right flank, with the American winger cutting inside and seeing her shot deflected onto the post by Laia Codina. The early pressure continued as Lauren James scampered away from Codina and found room for a shot, but she was denied by the same post that Thompson struck just moments beforehand.
But against the run of play, Arsenal broke the deadlock. Katie McCabe free-kick found the head of Stina Blackstenius, who got between Erin Cuthbert and Keira Walsh to nod beyond a helpless Hannah Hampton.
Chelsea found themselves two down on 32 minutes. A neatly-worked move ended with Chloe Kelly freely picking up the ball 25 yards from goal, and her speculative effort swerved under the arms of Hampton and in.
The Blues had the ball in the net just before the break when Veerle Buurman got above Codina to head in from a free-kick after Kadeisha Buchanan's flick-on took goalkeeper Anneke Borbe out of the game. However, the referee blew the whistle for a supposed foul by Buurman, and inexplicably, the VAR did not see a reason for an on-field review, causing a stir on the touchline.
With 25 minutes remaining, Chelsea pulled one back in outrageous fashion. Arsenal thought they had cleared their lines from a corner, but James popped up 25 yards out and picked out the top corner with a sensational shot on her weaker left foot that was half-dinked and half-driven.
However, that reprieve was short-lived as Arsenal extended their advantage back to two again. A swift counter attack saw Buchanan step up to try and press Blackstenius, who instead slipped the ball in for Alessia Russo to lash in.
James brought Borbe into a fine save with another superb attempt from distance as Chelsea tried to narrow the deficit again, and they saw another goal ruled out for a foul after Buchanan kicked the Arsenal goalkeeper to force the ball over the line from a corner. Down the other end, Johanna Rytting Kaneryd made a vital goal-line clearance to keep out Lotte Wubben-Moy as a back-and-forth first leg ended 3-1.
GOAL rates Chelsea's players from the Emirates...