Evgeniy Shakhov scored the only goal of the night from close range in the 22nd minute but despite making Cottagers keeper Mark Schwarzer work overtime the home side could not get back in the tie.
Jol's men did the hard work at Craven Cottage a week ago but despite their comfortable cushion the Dutchman warned his side not to take Dnipro lightly and his words proved wise.
Fulham had the first chance when Damien Duff saw his low drive pushed round the post by Dnipro goalkeeper Jan Lastuvka, but the visitors' hopes were hit when John Arne Riise hobbled off on 20 minutes.
Shortly afterwards Shakhov netted the opener when a Dnipro corner was headed back across goal, and suddenly Fulham's hopes of making easy progress to the group stage looked in doubt.
Both sides had chances in an even first half but it could have got worse for Fulham on the stroke of half-time when a dangerous free-kick from Evgeni Konoplyanka was tipped over by Schwarzer.
Dnipro, coached by the man who replaced Jol at Spurs, Juande Ramos, made their intentions clear at the start of the second half as they poured forward in search of a goal to keep the tie alive.
Aaron Hughes got back well to block a drive from Brazilian Giuliano then Schwarzer had to be on hand again to stop a goalbound effort from Ghanaian midfielder Samuel Inkoom.
Nikola Kalinic - a recent recruit from Blackburn - and Shakhov again had further chances, before Dnipro's best chance of further reducing the deficit when Schwarzer fumbled an effort from Konoplyanka and Chris Baird had to hack clear.
With time running out Fulham almost stole a goal of their own on the break when Duff raced clear and crossed to Pajtim Kasami, who somehow contrived to shoot over with the goal at his mercy.