United lead 2-0 after the first half, with goals from Chris Wood (penalty), after Charlie Taylor was fouled by Carl Baker in the 31st minute and then Taylor himself also netted the second goal for the Whites to send Uwe Rosler's men confident heading into the second half.
MK Dons scored their first goal of the game with 16 minutes to go with sub Simon Church making his mark on the game, and it felt like they were coming back strong.
But MK Dons was soon reduced to ten players with Samir Carruthers dismissed for an "iffy" late challenge on Stuart Dallas.
But the hosts still persevered during the final ten minutes, throwing everything they had at the Whites.
But it would be United who would steal the victory from the hosts, taking this one 2-1 in MK's own stadium.
"There were so many twists and turns in the game," Rosler told the teams official website.
"Being 2-0 up at half-time, I felt we managed the first 15-20 minutes of the second half and were pressing for a third goal.
"I felt we could have easily scored in that period. Then the panic button came into play, even with a man more.
"All credit to MK Dons, they made some tactical changes. They put ball after ball in our box and found a momentum with corners.
"We found it difficult to get the ball down to play, even with our one-man advantage.
"In this league you need to find a way to win, even when you're not playing pretty over 90 minutes. That's what we did in the end.
"When you see the whole game and how big the chances were for both teams, I think we should have killed the game off in the first 15 minutes of the second half.
"We didn't do that and we made it difficult for ourselves for the last half an hour. "But it's about character. The team dug deep and were terrific.
"We were a little bit nervous, you could see that. We had not won many games on the road.
"We had not been beaten in many games but I think the Bristol City game was in the back of our minds today.
"That's understandable for me but that will get better.
" Rosler was also full of praise for goalscorer Taylor, who doubled United's lead with a stunning solo strike.
"I think Charlie Taylor has been magnificent throughout the whole season," he said.
"I had the luxury of giving Gaetano a bit of a break. The last time we had three games in one week, Scott Wootton came in and did very well at Bristol City.
"I had that luxury on the right hand side. On the left Charlie has played every single game and he's doing that very impressively.
"He has a great future in front of him. He's willing to learn and he'll keep getting better and better."
<blockquote class="twitter-tweet" lang="en"><p lang="en" dir="ltr">I make this the first Saturday that both Leeds United & Huddersfield Town have both won since Saturday 8 February 2014. <a href="https://twitter.com/hashtag/Lufc?src=hash">#Lufc</a> <a href="https://twitter.com/hashtag/htafc?src=hash">#htafc</a></p>— Gareth Jones (@garethjones25) <a href="https://twitter.com/garethjones25/status/645281038743154688">September 19, 2015</a></blockquote> <script async src="//platform.twitter.com/widgets.js" charset="utf-8"></script>
<blockquote class="twitter-tweet" lang="en"><p lang="en" dir="ltr">No set of fans greater than Leeds United in this country. No arguments.</p>— dale (@Dale_Harris14) <a href="https://twitter.com/Dale_Harris14/status/645284107359027200">September 19, 2015</a></blockquote> <script async src="//platform.twitter.com/widgets.js" charset="utf-8"></script>