After a sluggish start by both sides, the pace quickened in the 12th minute when Lee Matthews swung in a left sided cross to Stephen Brooker who bravely knocked it down for Ian Armstrong whose shot was saved with ease.
The Dons took a surprise lead eight minutes later when after a handball shout against Malvin Kamara fell on deaf ears, the pacey winger swept the ball from the right to the arriving Ben Harding who flicked it home from ten yards.
Vale equalised two minutes before half-time when Matthews found new boy Robert Hulbert out on the left who brought the ball inside for Brooker, to sweep underneath Paul Rachubka from close range.
Vale wasted no time in getting a second and 22 seconds after the re-start, Ian Armstrong raced from midfield unchallenged, before firing his shot past Paul Rachubka from twenty yards.
Armstrong claimed another on 65 minutes when Matthews provided another cross from the left to pick out the youngster at the back post who proceeded to smash his way past the keeper off the inside of the post.
The Dons refused to lie down and after Steve Rowland brought down Izale McLeod in the 75 minute, Harding stepped up to hammer Gary Smith's free-kick into Jonathan Brain's bottom right corner.
Milton Keynes Dons boss Stuart Murdoch said: "I'm very disappointed that we are going away with nothing, but if you concede three goals you don't win many games.
"It's bit early to be looking for changes. There's one or two poor performances over the pitch but it's early days."