But the Magpies steadied, their key forwards Travis Cloke and Chris Dawes booting five goals between them as they won 16.11 (107) to 11.11 (77).
Collingwood midfielder Scott Pendlebury was best on ground, his 34 possessions and three goals earning him his second straight Anzac Medal to go with his 2010 Norm Smith Medal.
Heath Shaw and Luke Ball were other impressive contributors for the winners, while Leon Davis was at his creative best across half-back.
Dyson Heppell was outstanding for Essendon, while Stewart Crameri, who had the better of Harry O'Brien, booted four goals.
Ruckman Tom Bellchambers, defender Dustin Fletcher and small forward Leroy Jetta were others to stand out for the Bombers.
Essendon started the match with big men Paddy Ryder, David Hille and Michael Hurley in its forward line, but the tactic backfired as Collingwood's running players dominated the opening stages.
Dayne Beams, Dane Swan and Pendlebury kicked the first three majors of the game, and by quarter-time the reigning premier was 23 points up, having held the Bombers goalless.
But Essendon refused to be blown away like last year. Thanks to a brilliant running goal from Crameri and an accurate set-shot from Watson they were within 19 points at the long break.
The Bombers continued their charge in the third term, and when Leroy Jetta brought the crowd to its feet with a 55m bomb they were only two points down.
Yet just as Mick Malthouse's men looked in trouble, Cloke stood tall. He took three big grabs and booted three goals in the last quarter, his efforts ensuring his team remains unbeaten.
The crowd of 89,626 was the sixth largest Anzac Day crowd.
Essendon 0.3 3.8 7.10 11.11 (77)
Collingwood 4.2 7.3 10.6 16.11 (107)
GOALS
Essendon: Crameri 4, Hille 2, Zaharakis 2, Bellchambers, Watson, Jetta
Collingwood: Cloke 3, Pendlebury 3, Beams 2, Dawes 2, Swan, Jolly, Didak, Ball, Brown, Sidebottom
BEST
Essendon: Crameri, Heppell, Fletcher, Jetta, Bellchambers
Collingwood: Pendlebury, Cloke, Davis, Shaw, Ball
INJURIES
Essendon: Nil
Collingwood: Nil
SUBSTITUTES
Essendon: Angus Monfries replaced by Kyle Reimers during the third quarter
Collingwood: Dayne Beams replaced by Brad Dick at three-quarter-time
Reports: Nil
Umpires: Chamberlain, Ryan, Findlay
Official crowd: 89,626 at the MCG
Anzac Medal Voting
Scott Pendlebury 8
Dyson Heppell 5
Leon Davis 3
Luke Ball 1
Sharrod Wellingham 1