The Shrimpers had won 11 of their last 14 matches going into the match and were hoping to keep up their bid for a play-off place.
But, despite creating a hatful of chances, they were undone on the hour by Mark Wright's goal, before the same player grabbed a second in stoppage time.
Southend created the better chances in the first half but were unable to put the ball in the net.
Their best opening came after three minutes when a cross from the left picked out Theo Robinson on the edge of the box.
The striker controlled the ball and unleashed a dipping half-volley which goalkeeper Willy Gueret superbly palmed away.
Skipper Adam Barrett fired an ambitious 30-yard effort wide before Damian Scannell also shot wide after a Simon Francis free-kick was only half cleared.
A Scannell shot was then deflected to the on-rushing Franck Moussa, but the left-winger could only shoot off target with only Gueret to beat.
MK Dons had only seen Jason Puncheon fire wide of Steve Mildenhall's goal before they finally became an attacking threat on the half-hour mark.
Wright's shot fell from the right to Luke Chadwick at the back post, but the winger delayed shooting from six yards and Mildenhall pounced on the ball.
In the final action of the half lone striker Ali Gerba teed up Stephen Gleeson, but his shot was deflected out for a corner.
But Southend started the second half on top with Lee Barnard's shot being headed off the line by Sean O'Hanlon and Alan McCormack's shot, following a well-worked free-kick, being met by Robinson, who prodded wide from a couple of yards out.
Robinson then teed up McCormack, whose shot was saved by a diving Gueret.
But after 59 minutes MK Dons took the lead against the run of play.
Chadwick picked the ball up and passed to Gleeson on the right, whose cross into the box was perfectly met by Wright, who headed past Mildenhall.
Southend manager Steve Tilson brought on Dougie Freedman and Francis Laurent up front to try to find a equaliser, but Moussa shot over the bar after Gueret had parried a close-range header.
And MK Dons ended any hopes of a point for the hosts at the death when the visitors bagged a second. It came in the 91st minute when Dons broke upfield as Southend chased an equaliser.
Gleeson charged forward and passed to Wright, who stroked the ball home from just inside the box.