Nigel Adkins urged his new Southampton side to learn some quick lessons after they crashed to defeat in his first game in charge.
Second-half goals from Angelo Balanta and Peter Leven secured a 2-0 win for MK Dons and condemned Saints to a fourth straight loss.
"We created chances in the first half but unfortunately it didn't happen for us," said Adkins.
"The lads have been good since I came into the building and you could see that attitude before the game and during the early stages of the game.
"Obviously we've ended up with a disappointing result - the two goals we've conceded are very disappointing from my point of view.
"The important thing now is that we learn the lessons from it."