Pablo Mills' 58th minute header put Milton Keynes ahead, but U's skipper Karl Duguid's strike three minutes later and substitute Neil Danns' close-range winner sent the visitors through to the southern section quarter-finals.
Dons boss Danny Wilson made six changes from the team that lost 2-0 at Colchester in the league on Saturday, with Izale McLeod back in the line-up after a leg injury and captain Ben Chorley suspended.
Teenage goal machine Sam Baldock, 16, was handed a place on the bench for the first time after starring for the youth team and reserves.
U's manager Phil Parkinson made ten changes from the Layer Road clash, with Sam Stockley the only regular keeping his place.
Yet it was Colchester who dominated the early exchanges with a succession of corners as the Dons' rearguard defended nervously, before Milton Keynes settled down midway through the first half and created a couple of decent chances.
First Gareth Edds' 22-yard strike was deflected just wide off U's defender Gary Richards in the 26th minute, before the unmarked Aaron Wilbraham headed the resulting corner from Nicky Rizzo wide.
McLeod thought he'd put the Dons ahead in the 39th minute with an emphatic finish from Rizzo's pass, but the effort was ruled out for using his arm to control the ball.
The Dons came out fired up for the second half and Dean Lewington's dangerous cross was cleared from under his own crossbar by U's centre-half Pat Baldwin, before Wilbraham's spectacular overhead kick from seven yards flew over the bar from Wade Small's clever flick.
And then Mills gave Milton Keynes the lead in the 58th minute with a powerful header from Rizzo's corner.
Mills rose unchallenged at the far post to head the ball goalwards and, despite Stockley's acrobatic attempt to keep it out, the ball was ruled to have crossed the line.
But just three minutes later skipper Duguid equalised for Colchester with a cracking left-foot strike from 15 yards.
United's left midfielder perfectly controlled Kem Izzet's searching long ball before beating Dons goalkeeper David Martin at his near post with a fierce low drive from an angle.
And then substitute Danns snatched his second goal in four days against the Dons to put the U's 2-1 up in the 74th minute.
Milton Keynes substitute Malvin Kamara's poor defensive header from Gareth Williams' corner fell perfectly for Danns six yards out, who rammed in his sixth goal of the season.
Edds was foiled by an excellent close-range save from Colchester keeper Dean Gerken in the 80th minute as the Dons battled back, but despite the introduction of Baldock for his first-team debut Milton Keynes went out with a whimper.