Domenico Berardi put the home side ahead in the 12th minute from the penalty spot before team-mate Antonio Floro Flores doubled his team's lead five minutes later.
Bologna's Alessandro Diamanti converted a penalty in the 34th minute to reduce the arrears but the visitors were unable to find the equaliser.
The result has lifted promoted-side Sassuolo to 18th place while it has relegated Bologna to the foot of the standings.
Both teams went into the game winless after seven rounds and desperate to spark their season into life.
Sassuolo enjoyed a good start and were given a helping hand when the referee pointed to the spot after Berardi was fouled in the area by Andrea Mantovani.
Berardi struck the spot-kick to the far post, sending Bologna goalkeeper Gianluca Curci the other way.
Bologna were unlucky not to equalise in the 14th minute when Diamanti's volley from the box hit the crossbar.
Sassuolo pressed forward and were rewarded when Floro Flores' right-footed shot from just outside the area took a deflection off a defender and beat Curci.
The visitors reduced the deficit before the break when the referee awarded Bologna a penalty after Jonathan Rossini held Cesare Natali in the area.
Diamanti cooly struck the ball towards the top right corner of goal to beat Sassuolo goalkeeper Gianluca Pegolo.
On the hour mark, Curci kept out Floro Flores's 10-yard shot.
In the 70th minute, Roberto Acquafesca came close to equalising but his powerful header from Lazaros Christodoulopoulos's cross was met by a fine save from Pegolo.
Bologna never gave up hope and one minute from time, substitute Rolando Bianchi's close-range header went just wide of the far post.