Helder Costa marked his first start with the opener, and set up Jed Wallace for Wolves' second seven minutes later.
Medy Elito replied for League Two's bottom side, who also had chances through Luke Berry and Ben Williamson.
James Henry had a penalty saved by Cambridge goalkeeper Will Norris just before the hour.
Match ends, Wolverhampton Wanderers 2, Cambridge United 1.
Second Half ends, Wolverhampton Wanderers 2, Cambridge United 1.
Corner,  Wolverhampton Wanderers. Conceded by Jake Gosling.
Corner,  Wolverhampton Wanderers. Conceded by Will Norris.
Attempt saved. Jón Dadi Bödvarsson (Wolverhampton Wanderers) left footed shot from the left side of the box is saved in the bottom left corner. Assisted by James Henry.
Foul by Dominic Iorfa (Wolverhampton Wanderers).
Josh Coulson (Cambridge United) wins a free kick in the attacking half.
Attempt blocked. George Saville (Wolverhampton Wanderers) left footed shot from outside the box is blocked. Assisted by David Edwards.
Corner,  Wolverhampton Wanderers. Conceded by Blair Adams.
Attempt blocked. James Henry (Wolverhampton Wanderers) right footed shot from outside the box is blocked.
Attempt saved. Jed Wallace (Wolverhampton Wanderers) left footed shot from the centre of the box is saved in the bottom left corner. Assisted by James Henry with a through ball.
Attempt saved. Jón Dadi Bödvarsson (Wolverhampton Wanderers) right footed shot from outside the box is saved in the centre of the goal. Assisted by George Saville.
Attempt blocked. Joe Pigott (Cambridge United) left footed shot from the centre of the box is blocked. Assisted by Piero Mingoia with a cross.
Attempt missed. Leon Legge (Cambridge United) header from the centre of the box misses to the left. Assisted by Jake Gosling with a cross following a corner.
Corner,  Cambridge United. Conceded by Dominic Iorfa.
Corner,  Cambridge United. Conceded by Matt Doherty.
Corner,  Wolverhampton Wanderers. Conceded by Josh Coulson.
Offside, Cambridge United. Jake Gosling tries a through ball, but Ben Williamson is caught offside.
Corner,  Wolverhampton Wanderers. Conceded by Josh Coulson.
Kortney Hause (Wolverhampton Wanderers) wins a free kick on the left wing.
Foul by Ben Williamson (Cambridge United).
Jed Wallace (Wolverhampton Wanderers) wins a free kick in the defensive half.
Foul by Blair Adams (Cambridge United).
Substitution, Wolverhampton Wanderers. Jón Dadi Bödvarsson replaces Hélder Costa.
Substitution, Cambridge United. Jake Gosling replaces Max Clark.
Attempt missed. James Henry (Wolverhampton Wanderers) right footed shot from the centre of the box misses to the right. Assisted by Jed Wallace with a cross following a corner.
Corner,  Wolverhampton Wanderers. Conceded by Will Norris.
Attempt saved. Jed Wallace (Wolverhampton Wanderers) right footed shot from outside the box is saved in the centre of the goal. Assisted by David Edwards.
Attempt missed. Leon Legge (Cambridge United) header from the left side of the six yard box misses to the right. Assisted by Max Clark with a cross following a corner.
Corner,  Cambridge United. Conceded by Kortney Hause.
Substitution, Cambridge United. Joe Pigott replaces Medy Elito.
Attempt missed. Kortney Hause (Wolverhampton Wanderers) header from the centre of the box misses to the right. Assisted by Jack Price with a cross following a corner.
Corner,  Wolverhampton Wanderers. Conceded by Josh Coulson.
Substitution, Wolverhampton Wanderers. David Edwards replaces Prince Oniangué.
Attempt missed. Piero Mingoia (Cambridge United) right footed shot from the centre of the box is high and wide to the right.
George Saville (Wolverhampton Wanderers) wins a free kick on the left wing.
Foul by Piero Mingoia (Cambridge United).
Foul by Hélder Costa (Wolverhampton Wanderers).
Luke Berry (Cambridge United) wins a free kick in the defensive half.
Attempt missed. Ben Williamson (Cambridge United) header from the centre of the box misses to the left. Assisted by Piero Mingoia with a cross.
Wolves extended their unbeaten run under new manager Walter Zenga to six games with victory over Cambridge in the second round of the EFL Cup.