McLeod's 95th minute strike from the edge of the box looped up off the unlucky Pat Baldwin and over goalkeeper Dean Gerken via the underside of the bar to condemn the lacklustre U's to their fifth straight defeat of the season.
Dons manager Martin Allen made 10 changes from the team that beat Bristol Rovers 2-0 on Saturday, with Sean O'Hanlon, Joe Tillen, Ben Harding, Gareth Edds, Scott Taylor, John Hastings and Joe Howe coming in for their first starts of the season and just Ben Chorley keeping his place.
Colchester manager Geraint Williams made four changes to the team that lost 2-1 at West Brom, with Jamie Guy, Gerken, John White and Baldwin coming into the line-up.
The U's started brightly and Richard Garcia's header from Kem Izzet's corner was saved low to his right by Dons' goalkeeper Ademola Bankole in the second minute.
Want-away Colchester full-back Greg Halford stole in to glance a header inches wide from Kevin Watson's pin-point free-kick on the quarter of an hour mark.
The Dons' first chance fell to centre-half O'Hanlon, who headed Howe's corner just over the bar under pressure on the half hour mark.
The U's started purposefully after the break and skipper Karl Duguid's angled drive from Izzet's incisive pass was spilled just wide of the post by the fortunate Bankole within a minute of the re-start.
Halford curled a powerful 25-yard free-kick inches over the Dons' crossbar with Bankole rooted to the spot in the 53rd minute, after Duguid had been brought down by Craig Morgan on the edge of the box.
Garcia looked set to break the deadlock for Colchester in the 74th minute but his close range volley from substitute Jamie Cureton's cross rebounded out off the underside of the bar.
The disjointed Dons finally put some pressure on the U's goal in the closing stages and Edds fired a rasping drive just over the bar from the edge of the box, before Dyer's long range strike was deflected just over in the 85th minute.
From the resulting corner John Hastings' flicked header from substitute Jon-Paul McGovern's cross beat keeper Gerken but was cleared off the line by Watson, before Dons substitute McLeod should have converted skipper Scott Taylor's pull-back a minute from the end but he completely missed his kick from eight yards.
Hastings headed Taylor's cross just over the bar for the Dons and Cureton's cool finish from Izzet's pass was ruled out for offside for the U's in a frantic finish to normal time, before McLeod' 95th minute extra-time strike sealed the Dons' third straight win.
Duguid missed Colchester's best chance to equalise in the dying minutes of extra time when he raced through on goal but his chip dropped agonisingly over the bar.