The heavyweight Welsh region were expected to make short work of Italian minnows Calvisano, but struggled throughout in a display that won't have overly concerned Pool rivals Stade Francais and Sale Sharks.
Ospreys fans turned up expecting a try-fest, but were left on the edge of their seats as it took until the 70th minute for backrower Andy Lloyd to supply the crucial fourth five-pointer.
British Lions hero Ryan Jones opened the scoring with a try in only the fourth minute, but home fans settled in for "one of those games" as error after error from the home side meant the scoreline was an improbable 5-3 after 30 minutes.
Ospreys fullback Lee Byrne saved a few blushes with a try on the stroke of half-time, and Wales prop Adam Jones powered over in the opening exchange of the second spell.
The crucial fourth try looked a mile away as former Llanelli Scarlets fullback de Marigny slotted two goals to make it 19-9 on the hour mark.
A shock defeat was never a reality, but there was a huge sigh of relief as Lloyd crashed over for the crucial bonus-point try.