The Black Cats took the lead on 12 minutes when Max Power's deflected effort found the back of the net - but they were not in the lead for long as Cameron Jerome equalised for The Dons just four minutes later.
The away side went in front almost immediately after the interval when Scott Fraser dispatched from the penalty spot - and they managed to hold on to seal a precious three points on Wearside.
Russell Martin's men made eight changes from their midweek defeat against Southampton U21's in the Papa John's Trophy, with only Fraser, David Kasumu and Matthew Sorinola keeping their place in the side.
Story of the game
The first chance of the game fell to the away side when Scott Fraser's cross from a short corner was headed off target by Dean Lewington.
Sunderland went straight down the other end and should have taken the lead when Will Grigg played a low ball across the face of goal, but the ball was too fast for Lynden Gooch to get on the end of it.
The away side certainly looked a threat from set-pieces, and Cameron Jerome was inches away from giving MK Dons the lead when his shot from a short corner whistled past the post.
Despite The Dons knocking on the door, it was Sunderland who went in front. The away side failed to deal with a Gooch cross, the ball fell to Max Power on the edge of the box whose strike took a deflection and went past a helpless Andrew Fisher in The Dons net.
However, Russell Martin's side were only behind for four minutes before his former-Norwich City teammate Jerome pulled The Dons level when he met Ben Gladwin's free-kick at the back post.
This breathless opening 25 minutes continued when Will Grigg was unleashed from a long ball one-on-one with the goalkeeper, but the Northern Ireland international could not get the ball under his spell and Fisher collected the ball with ease.
What was evident to see was MK Dons' plan to press makeshift centre-back Luke O'Nien whenever he was on the ball - and Louis Thompson almost forced a mistake out of the natural midfielder, if it was not for a cynical challenge from Grant Leadbitter, which almost landed him a booking.
The first-half started to peter out until the late knockings, and it took Gooch to have a 25-yard strike go wide of the mark on 38 minutes to spark this game back into life.
Just a minute after his wayward shot, Gooch was the orchestrator for Sunderland again - this time his cross into the box towards Grigg was scrambled away by The Dons players to force a corner.
Charlie Wyke next chested the ball into the path of Josh Scowen to hit on the volley, but his shot was nowhere near from testing Fisher.
Despite the late Black Cats flurry, the visitors were the ones that had the best chance to take the lead before the interval when Stephen Walker fizzed the ball across the Sunderland goal, but fortunately for the home side, O'Nien was on hand to lash the ball away to safety.
An early penalty enough to give the away side the victory
Just 40 seconds into the second half, MK Dons were awarded a penalty after Power miskicked a routine clearance, the midfielder then fouled Scott Fraser when he tried to clear the ball at the second attempt.
Fraser made no mistake from the spot as he sent Remi Matthews the wrong way to give the away side the advantage early into the second half.
Nine minutes after they went behind, Sunderland created a half-chance to draw level when O'Nien played in Denver Hume, who then crossed the ball across the goal, but The Dons managed to clear the ball away to safety.
On the hour mark, Gooch managed to win the ball off the MK Dons back line, he shifted the ball wide to Jordan Willis, whose cross flew out for a goal-kick. A piece of play that summed up Sunderland's opening 60 minutes.
Black Cats fans will not believe that they did not equalise when Gooch squared the ball across the goal Grigg, who somehow could not connect with the ball from about a yard out from goal.
Sunderland continued to pressure the away side, but once again their efforts were wasteful, Hume's volley joined the list of efforts that went wide of the goal for the home side.
Hume was a nuisance again for the visitors, this time his cross into the box was seemingly looping into the goal and had to be tipped away to safety by Fisher.
Fisher made the save on the match with just six minutes left of normal time when he denied Hume's effort with a flying foot.
MK Dons took advantage of Sunderland pushing all their players up the field, and should have put the game out of sight if it was not for a top save from Matthews to deny Fraser of his second of the game.
The Black Cats huffed and puffed, but could not find the equaliser they so desperately craved when Hume was denied by Fisher in the final real opportunity of the game.
MK Dons moved up to 14th in the League One table with victory on the road, whilst Sunderland managed to hold on to sixth in the table, despite losing this afternoon.
Sunderland's stunning fall from grace picks up another highlight
Ten years ago, Sunderland won 3-0 away at Chelsea, and today, they were humiliated by MK Dons - a team that had not won an away fixture in over a year prior to this afternoon.
The Black Cats were wasteful going forward, with their afternoon epitomised by Will Grigg's glaring miss from two yards back.
It always seems to be one step forward, then two steps back for Sunderland.
They win a few games, all looks rosy, then all of a sudden they are on the recieving end of a loss that defies belief.
Despite this being Sunderland's best start to a season in recent years, they must improve their form if they finally want to return to the Championship.
The away day streak is finally over for MK Dons
What a day for Milton Keynes Dons.
A 20-game-long run without an away win finally came to an end when the final whistle blew on Wearside this afternoon.
This result was undoubtedly Dons boss Russell Martin's biggest win of his short managerial career so far.
The 34-year-old and his backroom staff’s shouts were so loud at full time they reverberated throughout an empty Stadium of Light - a sign of how important those three points really are.
Today was the story of a young manager who relied on the wise old heads Cameron Jerome and Richard Keogh in particular to rally his side to victory.
MK Dons winning on Wearside today may just have been the result they needed to heal their recent away day wounds.
Sunderland: Matthews; Gooch, O'Nien, Wright, Willis, Hume; Scowen, Leadbitter, Power; Wyke, Grigg. (5-3-2)
Milton Keynes Dons: Fisher; O'Hora, Keogh, Lewington; Fraser, Gladwin, Kasumu, Thompson, Sorinola; Walker, Jerome. (3-5-2)