Sunderland's night started off in the worst possible way. Even accounting for making six changes to the starting lineup at the weekend, the opening ten minutes were a horror show.
After trading the concession of freekicks, it was the visitors who took the lead through Chelsea loanee, Patrick Bamford.
John O'Shea attempted to play the ball out of danger to Ji Dong-Won, who instead of trying something simple cocked up a flick on the edge of the area. Bamford happily collected, transferred it from one foot to the other and slotted into the bottom corner beyond a helpless Mannone.
You sensed at this stage it may not be Ji's night. He wasted possession seconds later, much to the wrath of the crowd and Paolo Di Canio who sent Connor Wickham to warm up.
MK Dons could have had up to three with less than 20 minutes on the clock. A freekick was whipped in and met by Cabral and palmed away by Mannone, before Izale McLeod trickled a shot wide under little pressure.
Meanwhile all Sunderland could offer in riposte was an airshot by David Moberg-Karlsson who couldn't latch on to Adam Johnson's low cross while a Jozy Altidore freekick was weak and didn't test the opposing 'keeper.
With 25 minutes gone Sunderland finally mustered up a chance of note. Jack Colback's blocked shot fell to Moberg-Karlsson who flashed a shot wide with his wrong foot. Still McLoughlin in the opposing net was untested, but at least we seemed to be getting back into it, and DMK was enjoying a reasonable game for him personally.
Another chance came it was DMK who again provided. Altidore scythed down by George Baldock and the Swede's delivery was met by Ondrej Celustka inside the 6-yard box and managed to put it over when in space at the near post.
Things seemed to calm down somewhat from then for a spell, as you would have expected. MK Dons slowing the pace down and wanting to conserve energy for later in the game and Sunderland not really doing much to stretch them, although a couple of Adam Johnson runs and crosses were either not met or met poorly.
Pressure continued though and brought about our closest chance of the half. Jozy Altidore with a curling effort crashing back off the post, Moberg-Karlsson on the rebound mishitting and then heading tamely at McLoughlin. The American could certainly consider himself unlucky not to score, but the half time score stayed as it had for most the half, 1-0 to the visitors.
Surprisingly there was no changes at half time by Paolo Di Canio, who had Connor Wickham warming up extensively in the first half as his chagrin with Ji Dong-Won took some respite. For a few minutes anyway as just moments into the half he was replaced by Connor Wickham, to ironic cheers from the hardy souls at the Stadium of Light.
It was the visitors who had the first chance of the second half though, Stephen Gleeson just narrowly missing the top corner with a rasping drive. McLeod's weak effort a few minutes later proved much easier to clear.
After having chances in the first half to make it 2-0, eventually the visitors did. Cabral's balls up in midfield allowed Izale McLeod to run the length of the half unopposed and chipped nicely over an advancing Vito Mannone.
Sunderland had a couple of chances to make up some of the deficit straight away mind you. The impressive Moberg-Karlsson fired at McLoughlin with power while Connor Wickham's rebound unfortunately didn't do enough to test his former Ipswich teammate in goal.
MK dons barely seemed to get out of first gear. Paolo Di Canio brought on Seb Larsson and Charis Mavrias for a decent Moberg-Karlsson and uninspiring Cabral.
Sunderland were utterly deflated from then on. Even more so than they were before. Adam Johnson tested McLoughlin and forced out first corner of the night on 70-minutes which came to nothing but a half-hearted penalty appeal for a handball.
Further penalty appeals came from Sunderland, more out of desperation than anything else as Altidore looked for one when he was bundled off the ball.
However with 12-minutes to go a lifeline was handed. Connor Wickham flicked a long ball on to Jozy Altidore, putting the American one-on-one with McLoughlin and the burly striker made no mistake with a calm slotted finish.
MK Dons did their best to waste that time, as they're wont to do given the length of time left in the game, but Sunderland continued to press as best they could having given themselves an absolute mountain to climb.
Mission Impossible? Well to a degree achieved as with very little merit the scores were levelled with five minutes to go. Adam Johnson played in Ondrej Celustka who cut back to substitute Connor Wickham, who in turn slotted the ball home to level things up.
I believe the expression is "WTF".
Altidore took a freekick quickly to Wickham, who caught the Dons 'keeper off guard and made it 3-2. Unbelieveable stuff as time ticked over to 90-minutes and six minutes to be added on.
During that six minutes we added another. Adam Johnson skipping down the wing to beat a man and get into the box and make it 4-2 from an angle tighter than a virgin's snatch and end the game.
For 75-minutes Sunderland were abysmal, and deservedly going out of the competition before there seemed to be an upturn inspired by Jozy Altidore who seemed to wake up after the Dons' second goal.
We shouldn't take anything away from MK Dons though, who showed up and acquitted themselves superbly all game, and just simply seemed to fall to pieces at the end. Can't be faulted at all for their application.
However it's us who go through to the next round. Against all odds as someone once sang. And although the result was pretty damn good given the circumstances, we mustn't forget those circumstances. We were awful for three quarters of the match, and that needs addressing ASAP.
Until then though, we should probably enjoy the result at least a little bit.
We'll have more match reaction in our Match Stream HERE, this evening and in the coming days.