Dons suffered a second 1-0 home defeat in four days as they lost to struggling Southend United at Stadium MK on Saturday.
Charlie Kelman netted the only goal of the game after five minutes to secure the win for the visitors, though Dons left little on the pitch as they piled forwards thereafter, desperately seeking to avoid back-to-back home defeats.
Callum Brittain, David Kasumu and Brennan Dickenson all saw strikes smothered out by the deep-sittingShrimpers, who defended resolutely to hold on and claim their first win of the season.
After the defeat to Ipswich on Tuesday night, Paul Tisdale made two changes to the side for the visit of Southend. He welcomed back Dean Lewington and Callum Brittain in the wingback positions, at the expense of George Williams and Brennan Dickenson.
Despite having picked up just one point all season, it was Southend who took an early lead. Charlie Kelman was somewhat fortunate to find the ball at his feet 10 yards out after two good tackles from Regan Poole and Joe Walsh had blocked initial shots, but with Lee Nicholls committed, he was left with a routine finish into the net after just five minutes.
Dons could have been level within 180 seconds though, but Jordan Houghton's low free-kick drew a good save from Mark Oxley.
Not put off by trailing, the home side played some nice stuff in the opening half-hour but they could not play the incisive pass to split the Southend defence.
The second half saw Dons continue in the ascendency but, just like against Ipswich, the goal looked elusive. Sam Nombe had a partner, this time in the form of Kieran Agard, who replaced Houghton at half time, to give Dons a new dimension, but Oxley largely remained untested.
With the visitors defending en masse, Dons were destined to come out second best. Callum Brittain, David Kasumu and Nombe all saw shots deflected on their way through to Oxley, while Brennan Dickenson had a glorious chance to level, only for a vital touch by Harry Lennon to clear from inside the six yard box.
With Southend limited to hitting Dons on the counter, Simon Cox thumped the post late in the day as the visitors laid claim to their first win of the season.
Referee: Antony Coggins
Attendance: 7,493 (622)
MK Dons: Nicholls, Walsh, Martin, Poole, Lewington (Dickenson 64), Brittain, McGrandles, Houghton (Agard 46), Boateng (Gilbey 78), Kasumu, Nombe
Subs not used: Moore, Williams, Bowery, Harley
Southend United: Oxley, Bwomono, Ralph, Milligan, Cox, McLaughlin (Hutchinson 46), Goodship (White 68), Kiernan, Hamilton (Hyam 65), Kelman, Lennon
Subs not used: Bishop, Hyam, Ndukwu, Shaughnessy, Blackman
Booked: Poole, McLaughlin, Hamilton, Lennon, Cox, Kiernan