Tony Thorpe came very close to scoring a second goal shortly after when he beat the 'keeper, but his shot went just wide.
Swindon had plenty more chances in the first half, but just couldn't score. Milton Keynes rarely looked like scoring in the first half only coming close a couple of times, so Swindon went into the break winning 1-0.
The day stayed dry, just about which was good for the 600 or so Swindon fans who were housed before the goal in a stand with no roof at the National Hockey stadium.
It was a bad start to the second half for Swindon with Milton Keynes getting an equaliser after 48 minutes with a close range goal by Malvin Kamara.
Swindon had a couple of free kicks from just outside the area, and although these beat the wall, one was saved, and the other went high and over.
Ex Swindon defender Gareth Edds put the MK Dons into the lead on 76 minutes after a goal mouth scramble, and this caused the young Swindon team to fall apart.
The Dons had anotehr shot cleared off the line, and then hit the bar before 4 minutes later they scored their third and final goal of the afternoon with a header from McLeod.
Overall Swindon should have had at least a draw out of this game. Unlike some games they had chances to score, but just didn't get the luck. New manager Iffy Onoura has a huge task ahead of him as Swindon are now 6 points adrift at the bottom of the table, and it's still only October.