The former Bafana Bafana midfielder made the declaration during a press conference ahead of their round of 32 tie away to Highbury on Saturday, revealing that the competition is a clear priority for the season.
Tinkler insists the club is putting all its eggs in one basket, determined to go for broke in the knockout tournament.
"My objective as the coach of Sekhukhune is we want to go all the way. I set this competition as a target at the beginning with the players, about trying to get to the Nedbank Cup final and winning it. As I've said to all of you, I'm a very ambitious coach. I want to achieve big things so we are going to be taking this game extremely seriously as much as they are a NFD team."
The Babina Noko mentor added that they’ve been studying their lower division counterparts, Highbury and picked up key information.
Sekhukhune looked sharp at the start of the campaign and were among favourites for the other domestic cup competition.
Tinkler tried to put into context where it all went wrong.
"As a coach if you look at my track record, I actually don't start league campaigns very well, I tend to take quite some time and the team takes a while before they get into a stride. This season, it's been the other way around.
"These are not excuses, I'm just pointing out the facts. We've lost a couple of key players due to major injuries and we have then had to scramble by bringing in new faces, but at the same time you throw these players into the deep end when in reality these players come from clubs where they weren't getting a lot of game time."
Tinkler believes the message has hit home for the players.