Two former FA Cup final stars came face-to-face as managers and it was Stuart McCall who came out on top.
Dons chief Roberto Di Matteo scored the fastest goal in a Wembley Cup final when his 30-yard effort set Chelsea up for a 2-0 victory over Middlesbrough in 1997.
And Bradford manager McCall hit both goals in Everton's 3-2 defeat to Liverpool in the
second all-Merseyside final in 1989.
MK Dons, fourth in League One, started the tie as favourites but it was captain Graeme Lee who guided City to a memorable win and into the second round.
Lee's stunning free-kick eight minutes from time capped a strong display which saw the Bantams outclass their hosts.
While Lee may have netted the winner, it was Omar Daley who was the star of the show.
The winger fired McCall's side ahead with 90 seconds on the clock by exposing Shaun Cummings's naive defending to cut in from left to slot home in the bottom corner.
After exchanging passes with Paul McLaren, the dazzling Daley was denied a second when goalkeeper Lewis Price matched his curling effort with a great diving save.
Di Matteo had his half-time speech made easier when Jemal Johnson caught City goalkeeper Rhys Evans cold with a left-footed leveller.
Dons did pin Bradford back in the second half with Mark Wright having the pick of the chances but failing to convert them.
When Michael Boulding was brought down by last defender Miguel Llera, the Dons were lucky not be reduced to 10 men. The Spaniard was made to pay for his error when Lee stepped up for the resulting free-kick to nestle a 25-yard strike into the back of the net.
Llera glanced a header over the bar in the final moments but Bradford held on.
Milton Keynes Dons: Price, Cummings, O'Hanlon, Stirling (Llera 45), Lewington (c); Wright, Leven, Navarro, Belson (Gallen 29), Johnson; Gerba. Unused substitutes: Abbey, Regan, Howell, Chicksen, Powell.
Bradford City (4-4-2): Evans, Moncur, Lee (c), Clarke, O'Brien; Osborne, McLaren, Law, Daley; Conlon, M Boulding (Heckingbottom 90). Unused substitutes: McLaughlan, Arnison, Bower, Topp, R Boulding, Sharry.
Referee: M Russell (Hertfordshire)
Man of the match: Omar Daley.
