The Cottagers headed to Ukraine holding a 2-1 lead thanks to goals from Zoltan Gera and Bobby Zamora a week ago.
Just three minutes in Mark Schwarzer had to react smartly to turn a 25-yard swerving right-foot shot from Willian over the crossbar for a corner, as the home side dominated possession early on.
With 11 minutes played Jadson shot wide when well placed following a cross in from the right from the overlapping Darijo Srna, before Schwarzer had to palm away a long-range Fernandinho strike.
Shakhtar continued to dominate, forcing a series of corners but being unable to find the breakthrough and they were made to pay just past the half-hour mark.
Damien Duff swung in a left-foot free-kick from the right and Brede Hangeland flicked a header just inside the far post with keeper Andriy Pyatov rooted to the spot to give the Cottagers a two-goal aggregate advantage.
The second half opened with Fulham seemingly boosted by their lead and Shakhtar struggled to find the passing rhythm which had come so easily before the break.
Chances were few and far between at either end, but midway through the half Shakhtar found a way back into the tie.
Douglas Costa made space down the right and pulled the ball back from the goal-line for Jadson to sweep home a low shot from eight yards out at the near post.
The home side now piled on the pressure in search of a goal to take the tie into extra-time, but Fulham held on despite having skipper Danny Murphy red-carded deep into stoppage time at the end of the game.