In an entertaining contest, the Sky Blues went 2-0 ahead before the Fury pulled one back prior to half-time.
The home side managed to equalise 15 minutes after the re-start before Sydney again pulled ahead and ended up with three points.
In the 4th minute, Sky Blues young gun Kofi Danning found himself in space in midfield and was able to lob a nice ball in front of John Aloisi who missed his first touch in the box but had enough time to slot his left foot shot past Fury keeper Paul Henderson to make it 1-0.
Just over 20 minutes later, Danning showed why he is one of the hottest young players in the A-League when he turned his defender inside out, took the ball with him into the top of the area and smashed home a shot into the bottom left corner to double the visitors lead.
It was looking dark and gloomy for the new franchise until Jason Spagnuolo whipped a corner kick onto the head of Rostyn Griffiths who made no mistake from the font post to grab one back for Ian Ferguson's charges.
After half-time, it was a completely different Fury outfit who began to come at Sydney FC.
Despite Aloisi having the ball on a platter after a Danning cut-back, the Fury were able to hold stead and the complexion of the match changed when Spagnuolo took on Shannon Cole in the box in the 60th minute and was taken down, prompting referee Stebre Delovski to point to the spot.
Ten minutes later it was the Sky Blues turn to shoot from the spot after Terry McFlynn played Alex Brosque through who went to slip around Henderson but the keeper made a clumsy challenge with his hands, pulling Brosque down.
It was Aloisi who stepped up and hit his spot-kick down the middle, sending Henderson to the left to restore Sydney's lead.
The Fury were unlucky not to have another penalty when striker Daniel McBreen hit a volley straight into defender Simon Colosimo's arm in the area with less than five minutes left but it was not paid and the Sky Blues held on for a solid victory.