The hosts made a promising start, but their opponents were more clinical, with Mo Eisa and Theo Corbeanu both netting before the break.
George Hirst reduced the deficit after the interval and although the Blues applied plenty of pressure, they could not find a leveller.
Danny Cowley stuck with the same side that drew at Cambridge in the last league outing earlier in the month.
That meant new signing Hayden Carter had to be content with a place on the bench, where he was joined by fit-again skipper Clark Robertson.
There was a bizarre start to proceedings, as Pompey took a knee while their opponents kicked-off, with referee Scott Oldham allowing them to continue.
But the Blues soon settled into a rhythm and looked in almost complete control during the opening stages.
They should have broken the deadlock when Joe Morrell lifted a deep cross into the box and Sean Raggett nodded it down for Connor Ogilvie, who cleared the bar from just six yards out.
Ronan Curtis then tried his luck from 20 yards, but did not quite hit it cleanly enough, allowing Jamie Cumming to get down and make a save.
There were further half-chances for Hirst and Curtis, as the hosts continued to dominate proceedings.
But the Dons broke the deadlock against the run of play on 20 minutes, as Matt O’Riley stole the ball in midfield and found Eisa, who neatly slotted the ball past Gavin Bazunu.
That lifted the visitors and deflated Pompey, who found themselves on the back foot and struggling to keep hold of possession.
Marcus Harness was proving a bright spark, though, and after skipping past a couple of challenges, his effort crept just past the post.
They had another decent opportunity when Kieron Freeman won the ball and found Harness, who did well to shake off his marker.
He played the ball to Curtis, but a poor first touch took the forward wider than he wanted and the eventual shot was turned over by Cumming.
It was MK Dons who ended the half on top, however, and Bazunu smothered an attempt from Scott Twine.
And they had a second goal just before the break after Freeman won a tackle, only for the ball to run through for Twine.
His strike was blocked by Ogilvie, but Corbeanu was following up and lashed home in fine style to leave the Blues with a mountain to climb.
MK Dons 2
The hosts searched for a lifeline once the action restarted, although Cumming was trying to use up as much time as possible with his lengthy goal-kicks.
And when Harness did whip a teasing delivery towards the back post, there was nobody there attacking it.
Pompey were certainly enjoying a lot of possession, but could not quite find that all-important spark around the penalty box.
They had an opening when Ogilvie did well to keep the ball in play and send it into the mixer, where an onrushing Hirst was inches away from making contact.
The visitors were still looking dangerous on the break, though, and Bazunu had to beat away Corbeanu’s strike.
And the Blues then reduced their deficit on the hour mark, as Freeman picked out HIRST in the box, with the striker guiding the ball into the bottom corner.
Cowley made a change shortly afterwards, with Louis Thompson replacing Shaun Williams in the engine room.
The midfielder soon had a chance to draw Pompey level after racing into the box, but a wild finish saw the ball sail wide.
MK Dons then had a couple of opportunities of their own, with Raggett and Thompson combining to muscle Corbeanu off the ball inside the area.
And Daniel Harvie soon hit a ferocious 25-yard effort that left Bauznu’s crossbar rattling for some time.
Cowley made a switch up front to try to inject some more impetus into proceedings, with Hirst making way for John Marquis.
And Michael Jacobs then came on for Freeman to throw an extra player into the forward line for the closing stages.
It was Ogilvie who came close to scoring on 89 minutes, however, meeting a Curtis cross and seeing his header palmed behind by Cumming.
Pompey were committing plenty of men up the pitch and Bazunu had to deny Twine and Hiram Boateng in quick succession.
The keeper then went up to try to attack a free-kick in stoppage-time, but it came to nothing, while Marquis was flagged offside when he did prod the ball into the net.
But time ultimately ran out for the hosts and the Fratton faithful’s homecoming ended in disappointment.
Pompey (3-4-1-2): Bazunu; Freeman (Jacobs 82), Raggett (c), Ogilvie; Romeo, Morrell, Williams (Thompson 63), Hackett; Harness; Hirst (Marquis 73), Curtis
Goals: Hirst 60
Booked: Hirst, Marquis
Subs not used: Bass, Robertson, Carter, Brown
MK Dons (3-4-1-2): Cumming; Kioso, O’Hora, Lewington (c); Watson (Baldwin 74), O’Riley, Robson, Harvie; Twine; Corbeanu (Parrott 84), Eisa (Boateng 69)
Goals: Eisa 20, Corbeanu 45
Booked: Robson, Harvie
Subs not used: Ravizzoli, McEachran, Ilunga
Referee: Scott Oldham
Attendance: 14,958 (494 away fans)