Players and officials described Sunday's African Champions League game as "hell" after two traveling reporters were arrested and another had equipment confiscated, and the team was allegedly intimidated throughout the trip.
"The South African Football Association intends to express its strong dissatisfaction to the Confederation of African Football (CAF) over the treatment meted out to Orlando Pirates FC," SAFA said on Tuesday.
VIDEO: TP Mazembe v Orlando Pirates - highlights
"It was a terrifying experience," said SAFA official Elvis Shishana, who also traveled to Lubumbashi as the head of the delegation. He was confronted by fans in the stadium and had a phone taken from him. Security officials "failed to assist" him, SAFA said.
"Our lives were at risk," Shishana added. "The boys played as though their lives depended on the outcome. They showed real guts out there. I am proud of them for hanging on under such difficult circumstances. We are also glad we are back home in one piece but I must repeat that it was a scary situation and our lives were really in danger."
Midfielder Lehlohonolo Masalesa described the trip as "hell" on Orlando Pirates' website.
"Look, we chose to rather forget about all the negative things and take that experience in Congo and move on," he said. "We were scared for our lives after the match. The fans of Mazembe started burning cars outside the stadium."
SAFA said South Africa's national broadcaster, SABC, was prevented from broadcasting the game. Two of the SABC crew were arrested and later released, while a radio reporter had equipment confiscated.
"It was very clear from the beginning that they had an agenda, hence they did not want anyone to record the match," Shishana said.
Orlando Pirates also raised concerns over the refereeing. Seychelles official Bernard Camille sent off Pirates captain Lucky Lekgwathi in the first half, awarded TP Mazembe two penalty kicks - both of which were saved - and added on around 10 minutes of injury time at the end as Mazembe searched for a tie-winning goal.
"I've never seen anything like it in my entire career," Pirates coach Roger de Sa told South Africa's Sowetan newspaper. "The entire 100 minutes of football we played there was frightening, it was worse than a movie. It makes me wonder how Mazembe got those four stars on their crest.
"I'm bitter and shocked that CAF turn a blind eye to these things."
CAF last week announced sanctions against six other African clubs for crowd trouble and not controlling their fans. One of those teams, Egypt's Al Ahly, has also made the eight-team group stage of the African Champions League alongside Pirates.