Latics were undone by two first half goals from George Baldock and Izale McLeod as MK Dons ran out winners.
Charlie MacDonald pulled a goal back just before the hour mark for Latics, heading home a corner, but despite their best efforts, the home side unfortunately couldn't get back into the game.
Latics got off to the worst possible start, conceding within the opening three minutes of the game. Stephen Gleeson smashed a shot from 20 yards which rebounded into the path of Baldock who drove his effort past Mark Oxley to open the scoring.
Despite the goal, the home side created a few shooting opportunities but Gary Harkins' shot was dragged wide and Jon Stead's effort was comfortable for the goalkeeper to save.
Oldham continued to attack but were finding chances hard to come by. Stead had a back post header which was comfortably saved by David Martin in the Dons goal.
The visitors then hit Latics on the break and extended their lead just before half time. Adam Lockwood's mis-kick allowed McLeod a clear sight of goal and the striker stroked the ball past Oxley to double the Dons lead.
The gaffer was less than impressed with his sides first half performance and made a triple change in the hope to get something out of the game.
Whatever the manager said at half time was ringing around the player's ears in the second half as they went in search of a way back into the game.
Just before the hour mark, Latics did force a goal back through the head of MacDonald. Harkins' corner dropped straight onto the head of the forward who powered it past the goalkeeper to reduce Dons' advantage.
Pressure followed for the Lancashire side as they forced corner after corner, but none seemed to cause the Dons defenders many problems.
Substitute Ryan Hall really should have made the game safe with just under 20 minutes remaining as he raced onto a through ball, but Oxley stood up well to save.
With time passing by, Latics were trying their best to force an equaliser. After being put through on goal, MacDonald saw his effort saved by the goalkeeper and from the rebound, Harkins couldn't connect with his shot.
Latics launched one last attack in the final minute as they forced a corner. Oxley joined the attack but unfortunately the ball fell straight into the hands of Martin and the referee called time on the game.
Oldham Athletic: Oxley, Brown, Grounds, Wesolowski, Dunfield (Winchester 45'), Stead (Clarke-Harris 45'), MacDonald, Wilson, Lockwood, Philliskirk (Dayton 45'), Harkins.
Subs Not Used: Mellor, Turner, Worrall, Rachubka.
MK Dons: Martin, Lewington, Gleeson, Chadwick (Cole 59'), Reeves, McLeod (Smith 89'), Alli, Powell (Hall 59'), Baldock, Spence, Kay.
Subs Not Used: McLoughlin, Odelusi.
Goals: Oldham Athletic (MacDonald 58') 1-2 MK Dons (Baldock 3', McLeod 41')
Attendance: 2792 (54 MK Dons)