Watched by a crowd of almost 23,000, Delphine Cascarino opened the scoring for Lyon in the 27th minute and Amandine Henry doubled the lead for the French hosts before halftime.
Chelsea's Fran Kirby had a penalty kick saved by Sarah Bouhaddi, but the English side grabbed a valuable away goal thanks to a long strike by Erin Cuthbert in the 72nd.
Lyon has won the European title for the past three seasons.
Kheira Hamraoui scored for Barcelona almost midway through the second half. Bayern almost equalized when Sara Dabritz hit the crossbar with a free kick in the 90th.
The second legs are next Sunday.
The final is on May 18 in Budapest.
More AP soccer: https://apnews.com/apf-Soccer and https://twitter.com/AP_Sports
Copyright 2019 The Associated Press. All rights reserved. This material may not be published, broadcast, rewritten or redistributed.