The two-time CAF Champions League champs entered the Group D match at Cairo International Stadium needing a win to keep their hopes alive for the next round.
Zamalek struck first in the 29th minute with a header from Mostafa Shalaby, and Seifeddine Jaziri added another goal just after the break.
Enyimba managed to score in the 57th minute thanks to Ifeanyi Ihemekwele, sparking a glimmer of hope for a comeback.
However, Jaziri sealed the deal with his second goal just three minutes before the end, snuffing out any chance of a dramatic turnaround for Enyimba.
In another Group D match, Al Masry secured their spot in the next round with a solid 3-1 win over Black Bulls Maputo, where Fakhreddine Ben Youssef netted a first-half hat-trick.
This victory brought Masry's points total to nine, ensuring they finished second in the group behind Zamalek, the reigning champions.
The final spot in the last eight went to ASEC Mimosas from Ivory Coast, who dominated Orapa United of Botswana with a 4-0 win in Abidjan. Meanwhile, Jaraaf of Senegal lost 2-0 to USM Alger, leaving both ASEC and Jaraaf tied on eight points, but ASEC advanced based on head-to-head results.
In Group A, Simba from Tanzania topped the group with a 2-0 win over CS Constantine of Algeria, played in an empty Dar es Salaam stadium due to previous crowd issues.
Yusuph Kagoma missed a clear chance in the first half, but Denis Kibu broke the deadlock in the 61st minute with a low shot from outside the box.
El Kanemi Warriors, the other Nigerian team in the African equivalent of the UEFA Europa League, were eliminated in the first qualifying round.
As a result of the outcome, Enyimba finished outside the qualification positions, preventing them from advancing to the next stage.
The People’s Elephants will now focus on the Nigeria Premier Football League (NPFL), aiming to secure a historic ninth domestic title.