The Dons, with Jamie Langfield recalled in goal in place of Derek Soutar, made a flying start, but were denied an early breakthrough by Dnipro keeper Vyacheslav Kernozenko.
He made an outstanding block from Andrew Considine four minutes in, after Jamie Smith had touched on Scott Severin's free-kick.
Twenty minutes in Zander Diamond was unable to direct his header on target after a fine corner from the left by the busy Smith.
Dnipro finally offered a threat through Serhiy Samodin and Serhiy Nazarenko, before Barry Nicholson was forced wide as an opening offered itself up.
Straight after the restart Langfield had to be alert to tip a Konstyantyn Kravchenko effort from long range over the crossbar.
Kernozenko then made his second stunning save of the evening, as he pushed a Chris Clark drive against an upright after the Dons midfielder had drifted past two defenders to fire in an accurate drive.
Smith was denied by Kernozenko as the home side continued to press, but the latter stages of the game saw Dnipro enjoy more of the possession as the Dons began to tire .
Eventually the game ended in deadlock, with Jimmy Calderwood's side facing a tough test in Ukraine in two weeks' time if they are to qualify for the group stages of the competition.