Two first half goals from Kieran Agard and Ryan Harley were enough for the visitors despite Dan Gardner pulling one back for Latics.
The first half started at a slow pace with either side not wanting to give much away early on.
However, the visitors were awarded a penalty inside ten minutes when Giles Coke was adjudged to bring down his man from a corner and the referee had no hesitation when pointing to the spot.
Agard stepped up and place it low to Daniel Iverson's right to give Mk Dons the lead.
Oldham worked there first opportunity when some neat football allowed Gardner to test out Lee Nicholls with a driving shot.
However, up the other end Agard found himself free in the Latics' penalty area and he squared it across to Ryan Harley for a two-goal lead.
The home side worked themselves back into the game just before half time as Captain on the day Gardner dragged his team back into the contest.
The ball fell for the midfielder on the edge of the box and he had no hesitation in driving the ball past Nicholls in the visitors’ goal.
Iverson was called into action early into the second half from a flowing move from Mk Dons.
The big Dane came out quickly to deny Connor McGrandles with his feet.
Latics tried to force the equaliser with substitute Gevaro Nepomuceno cutting in from the right and dragging his shot wide.
Mk Dons were strong at the back denying any half chances Oldham could work and it was Iverson who had to make another stop to keep the home side in the game.
McGrandles again found himself free but the Leicester loanee was there to make another great save.
Sam Surridge almost nicked a point for Latics, but his deft header was held onto by Nicholls.
Due to an injury to McGrandles the game went over ten minutes past the 90-minute mark, but Oldham could not grab themselves a point.
Latics face a trip to Forest Green Rovers next Saturday.
Oldham: Iverson, Hamer, Edmundson, Graham, Hunt, Coke (Nepomuceno 46), Gardner, Missilou (Maouche 80), Branger-Engone, Miller (O'Grady 58), Surridge
Mk Dons: Nicholls, Williams, Lewington, Gilbey (Walsh), Pawlett (Simpson, 15)(Cisse 85), Agard, Moore-Taylor, McGrandles, Houghton, Brittain, Harley