After a barren first half, the Buccaneers opened the scoring through Lehlohonolo Majoro, only to be pegged back a few minutes later as Maarouf Youssef got his name on the score sheet before Mostafa Fathi completed the comeback six minutes from time.
The result saw Pirates drop to second in the standings, now three points behind Zamalek, while CS Sfaxian and AC Leopards are level at the bottom on one point each after the first two rounds of group fixtures.
Eric Tinkler's men continued to enjoy most of the early chances and Sifiso Myeni did well out wide before whipping the ball into the area, but goalkeeper Ahmed El-Shenawy came out sharply to collect the danger.
The midfielder then came close to scoring but saw his free-kick fizz just over the crossbar, while Gabuza this time managed to find the target with a shot, but ended up firing straight at the goalkeeper.
Zamalek weren't without their own chances, though, and Mohamed Salah almost broke in behind the Pirates defence shortly before half time, only to be thwarted by a brilliant sliding challenge from Thabo Matlaba.
The Egyptians had a great chance to snatch a goal a few moments after the restart as Salah slipped the ball in for Basem Morsi, but the forward could only rifle his shot wide of the post, with Brighton Mhlongo well beaten in the Pirates goal.
Issa Sarr then probably should have done better after getting on the end of a decent delivery from Kermit Erasmus, only to head over the bar, and they were almost made to pay for that miss as Salah broke through before hammering at goal, but Mhlongo pulled up a stunning save to keep the scores level.
With 69 minutes gone the game got its first goal, Majoro latching on to Myeni's defence-splitting ball to calmly slot home past the keeper with what was his first touch since coming on as a substitute for Erasmus.
Their lead didn't last long, though, as Zamalek found a response a mere three minutes later, Youssef linking up well with Salah in the area before hammering an unstoppable effort past Mhlongo.
It would eventually be heartbreak for the hosts as Zamalek struck the winner six minutes from time, Fathi working his way just inside the area before rifling into the back of the net.
Matlaba and Myeni had golden chances to rescue Pirates a priceless home draw, but both were denied by the imperial El-Shennawy, who pulled off two great instinct saves in the final moments to ensure Zamalek took the three points back to Egypt.