However, Borussia Dortmund have work to do if they are to reach the quarter-finals after being beaten 2-1 at home by Red Bull Salzburg.
Here's a look at Thursday's results and a recap of the best of the action.
Atletico Madrid 3-0 Lokomotiv Moscow
Borussia Dortmund 1-2 FC Red Bull Salzburg
CSKA Moscow 0-1 Lyon
AC Milan 0-2 Arsenal
Marseille 3-1 Athletic Bilbao
RB Leipzig 2-1 Zenit St Petersbug
Sporting CP 2-0 Viktoria Plzen
Arsene Wenger's side headed to Italy on the back of four consecutive defeats in all competitions but will be favourites to progress to the quarter-finals after a commanding win.
Milan started strongly and might have gone ahead in the opening minutes, but Giacomo Bonaventura could not quite get a touch on Patrick Cutrone's cross.
Hakan Calhanoglu also had a chance on 13 minutes when he was sent clean through on goal. Goalkeeper David Ospina came rushing out, and the midfielder managed to hurdle his challenge only to see the ball run out of play.
Football writer Graham Ruthven felt the Turkey international might have been better going to ground:
Two minutes later, Arsenal took the lead when Henrikh Mkhitaryan's deflected shot beat goalkeeper Gianluigi Donnarumma. The strike was the Armenia international's first for Arsenal and the first time the Milan defence had been breached for a while, as shown by Squawka Football:
Mkhitaryan almost scored a similar strike just before half-time, but this time his effort grazed the crossbar before flying out of play. However, Arsenal did not have to wait too long to double their lead as Aaron Ramsey ensured they went in at the interval 2-0 up.
Mesut Ozil was the creator for the Gunners, slipping the ball through to the Wales international, who rounded Donnarumma before slipping the ball into an empty net.
Arsenal were less adventurous after the break and managed to see the game out comfortably. They also came away with a valuable clean sheet to give them a big advantage ahead of the second leg at the Etihad Stadium.
James Gheebrant of The Times gave a neat summary of the Gunners' performance:
The result is a big boost to Arsenal after a poor spell and will raise hopes they can enjoy success in this competition, which represents their best chance of securing Champions League football for next season.
Diego Simeone's Atletico Madrid are one of the strongest teams left in the competition and showed their class with a comprehensive victory over Lokomotiv Moscow at the Wanda Metropolitano Stadium.
The hosts opened the scoring in spectacular style as Saul Niguez fired a fierce strike into the top corner from range midway through the first half.
Robbie Dunne at AS said it was a perfect shot:
Diego Costa added a second shortly after half-time, and Koke sealed the win in stoppage time. Football writer Simon Harrison felt the margin of victory could have been even greater:
Atletico are hitting top form as the season reaches its climax, and this result may allow them to rotate and rest players for the second leg in Russia.
Borussia Dortmund will not have that luxury as two goals from Red Bull Salzburg's Valon Berisha at the Westfalenstadion dented their hopes of qualification. The visitors took the lead from the penalty spot and grabbed a second seven minutes later.
Dortmund did manage to halve the deficit through Andre Schurrle as he bundled home substitute Christian Pulisic's cross. The goal kept the tie alive, but the Bundesliga side will have to improve quickly if they are to turn this one around.