Ross Stewart scored his second goal of the season to put the Black Cats ahead three minutes before half-time, before Elliot Embleton added a second shortly after half-time.
MK Dons pulled a goal back moments later through Tottenham loanee Troy Parrott, which led to a nervy finish.
Lynden Gooch had the chance to put Sunderland further ahead but saw a penalty saved six minutes from time, yet Sunderland managed to hang on.
Left-back Dennis Cirkin also made his Black Cats debut after joining the club from Tottenham earlier this week and lasted 73 minutes.
That meant Dan Neil was moved into midfield while Luke O’Nien missed the game through illness.
Our chief Sunderland writer Phil Smith has delivered his verdict on how each Sunderland player fared at Stadium MK.
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1. Lee Burge - 5
It was his error that let MK Dons back into the game, his throw out from the back straight to the MK Dons midfield. To his credit he responded well from there, making some key saves. 5 Photo: FRANK REID 2020
2. Carl Winchester - 6
Started very strongly but found himself increasingly on the back foot as the MK Dons wing-backs started to get quite a lot of joy. Dug in well and was combative when moved into midfield. 6 Photo: FRANK REID 2019
3. Tom Flanagan - 6
Some good interceptions and headers, and was powerful alongside Wright late on. There were times where he and his defence struggled during a second half surge for MK Dons, whose strikers ran the channels well. 6 Photo: JPI Media
4. Callum Doyle - 6
Didn’t have much of a chance to get his passing game going. Competed well defensively on a difficult afternoon. 6 Photo: FRANK REID 2020