Goals from Ross Wallace just before half-time and Kieran Lee in the second half put the Owls in control, ahead of Monday’s second leg on the south coast.
“It was a night to remember for a long time,” said head coach Carvalhal. “The fans will talk about it for months, years.
“We gave one of our best performances of the season tonight.
“We started the game very well, Brighton had an early chance, but other than that we did well.
“We have a 2-0 lead and are happy with the score. But we know we have won absolutely nothing.
“We go to Brighton, and we must not think we are winning 2-0. It starts at 0-0.
“In these type of games, we don’t feel like favourites. We have an advantage, but we must go play on Monday.”
The final scoreline could have been better for the Owls, and the majority of the 34,260 crowd, who saw Fernando Forestieri’s long-range strike ruled out for offside.
“It was a good decision by the referee,” admitted Carvalhal.
Brighton, who finished the game with 10 men after four players limped off injured including top scorer Tomer Hemed and winger Anthony Knockaert, came closest to scoring when Hemed hit the post.
Centre-back Connor Goldson and midfielder Steve Sidwell also went off, as Albion’s 14-match unbeaten run came to an end.
Brighton boss Chris Hughton said all four players were major doubts for Monday’s second leg.
“At the moment I wouldn’t be too optimistic about all four of them,” he said.
“We showed character in the end, and it’s a scoreline which is still achievable. It could have been three or four, thankfully they didn’t get any further goals.
“It will be a tough task, Wednesday are a very good side. It will be an uphill task.”