Paraguay, reduced to 10 men after 58 minutes, held on for a 0-0 draw in Porto Alegre and with no extra time in the quarterfinals, the game went straight to penalties. .
Jesus played the full game, while Ederson again sat the match out on the bench.
Fernandinho missed the game after injuring his right knee.
For Jesus, it was an immediate response to his missed penalty in the previous game against Peru.
The City striker missed in the closing moments of the 5-0 victory over the Peruvians and, as ever, he was keen to make amends.
The shoot-out seemed to be edging Paraguay’s way when Liverpool’s Roberto Firmino put his penalty wide with the scores tied at 3-3.
But after Derlis Gonzalez then missed his effort for the Paraguayans, Jesus stepped up to take the crucial fifth penalty and made no mistake.
Brazil, yet to concede a goal in open play in the Copa America, will now face the winners of tonight’s game between Argentina and Venezuela in Belo Horizonte next Tuesday.
Jesus had missed a penalty against Peru in their last group game and said he went back to his tried and tested technique on Thursday.
“In the last game I didn’t look at the keeper and I hit it hard straight away and the goalie made a good save,” said Jesus after the game.
“Today I did it my usual way, I looked calmly at the keeper and I could see him moving to the left and I side-footed it the other way.”
Colombia take on Chile and Uruguay will face Peru in the other two quarterfinals.