Unai Emery has won the Europa League title four times in his career, and while many Villa supporters have a desire for the club to make a genuine attempt at winning the Conference League, it will be interesting to see if they prioritise their lofty league ambitions above the third-tier European competition.
The match started with Villa looking the brighter of the sides during the opening exchanges, closing down their opponents quickly and making it hard for them to keep sustained possession of the ball.
While the AFAS Stadion only seats around 20,000 spectators, it sounded more like 10 times that amount with the home supporters in full voice as Dani de Wit got the first real chance of the match with a header that was deflected wide inside the first ten minutes.
However, it was the visitors who drew first blood with a well-placed pass from Boubacar Kamara to Bailey, who, despite taking a poor touch, regained control and struck a splendid half-volley beyond Mathew Ryan.
Bailey was a livewire for most of the first period and continues to make a case to join Watkins and Moussa Diaby in a front three on a more regular basis, especially after his beautiful goal at the weekend against West Ham United.
AZ tried to continue playing their game, passing the ball around and maintaining possession when possible, but with the class in the Villa ranks, it felt like only a matter of time until the visitors added to their lead.
And that is exactly what happened when a McGinn seized on a wayward pass from De Wit and delivered a precise ball to Tielemans, who skillfully controlled it and slotted a clinical finish through the keeper's legs.
Before the half-hour mark, the home team thought they had pulled one back when Myron Van Brederode's cross was tapped into the net by Vangelis Pavlidis; however, the goal was disallowed for offside.
Watkins scored the only goal past Ryan in England's recent win over Australia, and the English forward beat the Australian keeper again before the hour mark after a blocked shot from Bailey landed at his feet for an easy tap-in.
Bailey, who was arguably Villa's best attacker on the day, was instrumental in Villa's fourth goal as well, this time turning provider, as he slipped in his skipper McGinn at the near post for a sliding finish and to take the Villans out of sight.
AZ deserved plenty of credit, though, as they never took a backward step despite going four goals down, and they got their reward for their hard work when Ibrahim Sadiq took a long pass down on his chest before firing a low shot across Emiliano Martinez and into the bottom corner, marking his European debut with a goal.
With this result, Villa take the lead in Group E of the Conference League until Zrinjski and Legia Warszawa square off later this evening at Stadion Bijeli Brijeg.
The Cheese Farmers are back in league action this weekend against NEC while the Villans will play host to Luton Town at Villa Park.