City sacked Steven Pressley after they had failed to hold on to a 2-0 lead at Sheffield United last week, but held out against the high-flying Dons despite coming under siege for most of the second period.
Coventry soaked up early MK Dons pressure and took the lead after nine minutes when full-back Chris Stokes got on the end of Luke Williams’ corner and powered home.
It got even better for the home team in the 12th minute when John Fleck charged forward from midfield before releasing Dominic Samuel, who smashed his shot into the bottom corner.
The visitors got back on the front foot and dominated the remainder of the first half, but found Coventry in a steely, uncompromising mood.
MK Dons piled on the pressure in the second half and after Anthony Kay was twice denied, Daniel Powell pulled one back in the 56th minute from Carl Baker’s perfect cross, but the visitors could not find an equaliser.