South Africa have set a 409-run target for West Indies in their World Cup Pool B match at Sydney Cricket Ground on Friday.
AB de Villiers scored unbeaten 162 runs from 66 balls.
The Proteas scored 408 losing 5 wickets.
West Indies Captain Chris Gayle sent Proteas batsmen Hashim Amla and Faf du Plessis back to the pavilion after they scored fifties.
Russell took the wickets of Millar and Rossouw while Holder took the wicket of de Kock.
South Africa won the toss and opted to bat first against West Indies.
Teams:
South Africa - Hashim Amla, Quinton de Kock, Faf du Plessis, Rilee Rossouw, AB de Villiers (captain), David Miller, Farhaan Behardien, Kyle Abbott, Dale Steyn, Morne Morkel, Imran Tahir
West Indies - Chris Gayle, Dwayne Smith, Marlon Samuels, Denesh Ramdin, Lendl Simmons, Jonathan Carter, Darren Sammy, Andre Russell, Jason Holder (captain), Jerome Taylor, Sulieman Benn (Editing by John O'Brien)