Paris St-Germain are favourites to top Group C and the Portuguese club will be expected to take second spot but Tuesday's opponents Anderlecht - as well as Olympiacos - present a tough obstacle.
"It is a very balanced group, in which the teams are very balanced, except for PSG, who are the favourites," said Jesus.
"Anderlecht are a good team, the champions of Belgium, and have some players with high quality, mainly Aleksandr Mitrovic and Matias Suarez.
"It is important to win. We know now that we have some experience, that if you make 10 points is likely to qualify you.
"The motivation and responsibility to be in the Champions League is great."
Anderlecht striker Mitrovic has impressed his new team-mates since his club record 5million euro summer from Partizan Belgrade but faces a much bigger test in the Champions League.
The 18-year-old scored twice against Mechelen at the weekend on only his second appearance and is seeking to carry that form into the game against Benfica.
"We immediately saw he had a class more than others, " team-mate Sacha Kljestan told Belgian newspaper La Meuse.
"In the space of two games he has wowed the crowds and attracted interest.
"He knows how to keep the ball and now it will be up to him to prove in the Champions League that has the highest level.
"When you put two good players like (Matias) Suarez and Mitrovic together that often works well.
"They complement each other very well. I will not say that they form the perfect combination but it would be a good thing. "