The Grecians scored early through man-of-the-match Tony Scully and they never looked back in a gripping encounter.
Lee Phillips added to the scoreline in the first half while second half strikes from Paul Buckle and Jon Challinor put the result beyond any doubt.
With better finishing the Grecians could have won by a bigger margin and look good value as the league's early pacesetters.
Exeter started brightly and Scott Hiley had the first shot of the game with a 30-yard strike past the post.
The Grecians were ahead in the fourth minute. Scully stepped up and struck a free-kick from the edge of the box under the goalkeeper and into the bottom corner.
The Grecians were two up in the 14th minute. Glenn Cronin picked out Challinor who sprinted down the right and found the unmarked Phillips who had no problem in tapping the ball home from close range.
Striker Craig Farrell took the ball around the goalkeeper but Phillips was unable to finish.
It took Cambridge half an hour before they managed their first attempt on goal. Robert Duffy's looping long range shot forced Paul Jones to save well as he tipped the ball over the bar.
Exeter always looked a threat. Phillips twisted and turned inside the box and his low shot beat Darren Behcet but flew just past the post.
Exeter made it three just after the hour mark. Scully's fine cross from the right was met by Buckle and his glancing header flew into the bottom corner.
Four minutes later Challinor made it four for the Grecians when he tapped the ball range after Jones' corner bobbled its way through to the midfielder.
Farrell should have made it five when he headed wide at the far post from Andy Taylor's corner, but the players fully deserved their standing ovation at the end of a pulsating game.