Jay Rodriguez, Sadio Mané and Shane Long all grabbed two goals each to demolish Saints’ Championship opponents.
The tie was effectively over inside ten minutes, with Rodriguez’s delightful fifth-minute opener being followed up by Mané’s well-taken chip.
The Senegalese made it three before the half-hour mark, with Rodriguez adding another from the spot soon after the restart.
Shane Long, who had a hand in Saints’ third and fourth goals, then duly grabbed a brace of his own in the space of nine second-half minutes.
Rodriguez and Long were among five players drafted into the side that started Sunday’s defeat to Manchester United, with Graziano Pellè missing out through injury.
Also coming in was summer signing Juanmi, making his first start for the club, while Steven Davis and Cédric Soares also started after being benched at the weekend.
And it was Rodriguez who made the first impact of the game, surging down the left flank and cutting onto his right before curling the ball beyond Dons goalkeeper David Martin and off the post to give Saints a fifth-minute lead.
The goal only served to spur Saints on with Cédric close to grabbing a second soon afterwards when he curled over, shortly before Oriol Romeu flashed a shot the wrong side of the crossbar.
Goal number two duly arrived with ten minutes on the clock when Antony Kay gifted the ball to Sadio Mané, who weaved his way into the box before dinking the ball over Martin.
Dons forward Carl Baker saw a shot held by Maarten Stekelenburg as the hosts tried to find their feet, but their attempted revival was short-lived.
Mané was soon on the scoresheet again, finish off a 25th-minute move that started with Virgil van Dijk and ended with Long selflessly squaring for the Senegalese to shift the ball onto his left and slide the ball home.
Long could have grabbed a goal of his own moments later when Cédric poured forward before laying the ball off for the Irishman, who miscued his effort and allowed the hapless Dons defence to clear.
Saints continued to run riot, with Mané and Long combining to tee up Juanmi, whose effort was tipped over by Martin.
Rodriguez then headed over from a Juanmi cross, before Davis raced through midfield to reach the edge of the Dons box before curling the ball off-target.
The sight of Rodriguez being allowed to flash a shot wide from 20 yards was enough to spur home manager Karl Robinson into a 36th-minute substitution, with Rob Hall coming on for Cristian Benavente.
Daniel Powell drew a rare save from Stekelenburg with three minutes remaining of the opening half, cutting in from the left before dispatching a daisy-cutter that was easy for the Saints goalkeeper.
It took only three minutes of the second half for Saints to add another goal, with Rodriguez converting from the penalty spot after Long had been pulled back in the box.
There was further cause for celebration on 55 minutes when Ryan Bertrand made his first appearance since a summer knee operation, coming on as a replacement for Matt Targett.
Defender van Dijk then saw a free-kick clip the Dons crossbar before Mané looked to tee up Rodriguez on the counter, but his final pass fell just short.
With Saturday’s home game against Swansea looming large, Koeman decided to withdraw Mané from action before he could grab a hat trick, with Gastón Ramírez – making his first Saints appearance in more than a year – on as his replacement.
Long’s evening of hard work was finally rewarded on 67 minutes when Kyle McFadzean’s attempted clearance from Juanmi’s teasing cross cannoned off the Irishman and beyond Martin to extend the lead to five.
Long grabbed another goal soon afterwards when he collected Davis’s perfectly-weighted pass before smashing home to make it six – the first time the Dons have ever conceded that many goals in a competitive game.
Rodriguez looked to have sealed his treble with 81 minutes on the clock, only to be denied by an offside flag, while the Dons had an injury-time penalty appeal saved away when debutant Nicky Maynard went to ground under pressure from José Fonte and Maya Yoshida.
The victory is Saints’ biggest since they beat Oldham Athletic by the same scoreline in January 2011, and marks only the fourth occasion on which the side has scored six goals away from home since the war.
MK Dons: David Martin; Lee Hodson, Kyle McFadzean, Antony Kay, Dean Lewington (c); Sergio Aguza (Ben Reeves 58), Diego Poyet; Cristian Benavente (Rob Hall 36), Carl Baker, Daniel Powell; Simon Church (Nicky Maynard 58). Unused substitutes: Charlie Burns (GK), Jordan Spence, Giorgio Rasulo, Josh Murphy.
Southampton: Maarten Stekelenburg; Cédric Soares, José Fonte (c), Virgil van Dijk (Maya Yoshida 76), Matt Targett (Ryan Bertrand 55); Oriol Romeu, Steven Davis; Sadio Mané (Gastón Ramírez 65), Juanmi, Jay Rodriguez; Shane Long. Unused substitutes: Kelvin Davis (GK), Dušan Tadić, Victor Wanyama, James Ward-Prowse.
Goals: Rodriguez (5 & penalty 48), Mané (10 & 25), Long (67 & 75)
Referee: Keith Stroud
Attendance: 10,189 (2,556 away fans)