Rob Hall struck first at the New York Stadium but Matt Derbyshire’s header made it 1-1.
Aidy White then missed with the goal gaping and MK regained the lead when Jordan Spence’s cross was deflected in for an own goal by Danny Collins. Dean Bowditch’s smart finish put the visitors in a commanding position at the break and a powerful effort from Carl Baker sealed the win in the second half.
“If you don’t defend right and take chances at key stages of the match it’s always going to be tough,” said Evans.
“There’s no excuse. The defending wasn’t good enough. At 1-1 it only looked like there was one team in it but you can’t miss the open goals and chances we miss and expect to win.
“We worked our way into the game and got a goal from Matt that we’ve been working on at the training ground and you can’t get any better chances than what Aidy White misses. I can’t see how he’s missed it and I’ve watched it back 10 times.
“We missed three of four good chances. Within five minutes they are 2-1 up. It is as disappointing a start to a new season as you can get.
“I’m not coming out to make excuses. We’ll take it bang in the face and get on with our football.
“There has been no shouting and bawling in the dressing room. It’s just been a lesson learned.”
Rotherham United: Roos, Halford, Thorpe, Collins, Newell, Maguire (Bowery 73), Smallwood, Grant Ward (Frecklington 46), White (Green 46), Danny Ward, Derbyshire. Unused substitutes: Buxton, Ledesma, Richardson, Collin.
Milton Keynes Dons: Martin, Spence, McFadzean, Kay, Lewington, Potter, Carruthers, Hall (Baker 69), Reeves, Bowditch (Powell 68), Gallagher (Church 76). Unused substitutes: Aguza, Hodson, Walsh, Cropper.
Referee: N Miller (Durham).
Man of the match: Dean Bowditch.