The Italians won 64-63 with Giorgi Shermadini netting the winning free-throw with just seven seconds left.
Bennet spread their scores around in a defensive battle, with their top scorer Maarten Leunen only scoring 12 points. Olympiacos on the other hand over-relied on Vassilis Spanoulis, who had 23 points.
Bennet now hold a 3-1 record in the group but their opponents have slumped to 1-3.
In the same group
In Group B
There were also two games in Group B.
The top two in that group, Barcelona and Montepaschi Siena, meet in battle of undefeated teams on Thursday night.