The Dons fell to their first defeat of the season in an entertaining encounter at London Road.
Dons substitute Daniel Powell made things interesting with a neat finish a minute later but Karl Robinson’s men couldn’t find a deserved equaliser despite a late flurry.
Robinson reverted back to the team which started on the opening day against Gillingham with Dean Bowditch and Will Grigg replacing Powell and Benik Afobe.
Peterborough were presented with the first opportunity three minutes in but Jon Taylor curled his 20-yard free-kick just past the left-hand post.
The Dons hit back shortly afterwards with a Bowditch cross deflecting into the grateful arms of Ben Alnwick, before a last-ditch challenge from Michael Smith denied Ben Reeves getting a shot off.
Taylor registered the first shot on goal of an exciting opening 10 minutes when he fired straight down the throat of David Martin after a well-worked corner.
A stunning save from Alnwick denied Grigg’s header finding the top the left-hand corner from Danny Green’s pinpoint cross on 19 minutes, prior to Dean Lewington firing over after the latter’s corner had caused problems in the hosts’ box.
The Peterborough keeper was again called into action seven minutes later, pulling off another fine save to stop Bowditch’s effort finding the back of the net after he had latched on to Grigg’s clever pass.
It was David Martin’s turn to ensure the score remained level on the half-hour mark when he superbly kept out Conor Washington’s low drive with his right leg.
The Dons countered on 39 minutes and, after twisting and turning away from his marker, Reeves sent a shot goalwards which deflected agonisingly wide of the bottom left-hand corner.
Less than 60 seconds later, a chance at the other end as the entertainment continued, with Martin expertly tipping Nathaniel Mendez-Laing’s stinging 30-yard effort over the bar.
The deadlock was finally broken on the stroke of half-time when McEvoy’s 20-yard effort took a fortuitous deflection and lofted over Martin to give the hosts the lead.
It only took the Dons three minutes of the second period to draw level, Alli pouncing from close range after Grigg’s shot was saved by Alnwick following a mesmerising turn from the striker.
Robinson introduced Afobe, who opened his Dons account in the win over AFC Wimbledon on Tuesday, for Reeves on 58 minutes, but it was unlikely source of Lee Hodson who had the next chance which he dragged well wide of target.
The next 10 minutes saw a lull in terms of chances but not in terms of intensity as both sides looked to take control of proceedings with the business end of the game approaching.
A perfectly-waited pass from Kyle McFadzean set Bowditch away on 78 minutes left but Alnwick was up to the challenge and saved the forward’s chipped effort.
That proved to be Bowditch’s last involvement as he was replaced by Powell a minute later, but neither he nor his team-mates could stop Peterborough substitute Vassell guiding a close-range effort into the back of the net to give the hosts a 2-1 lead.
Vassell made it 3-1 with five minutes remaining when he capitalised on some in-decision by Martin and Antony Kay and headed into an empty net.
Powell pulled one back less than a minute later when he latched on to a forward pass, wriggled away from his marker and neatly lifted the ball over the on-rushing Alnwick.
Five minutes of additional time gave the Dons hope but neither Alli nor Powell could level matters with late chances.
Starting XI: Martin; Hodson, Lewington (c), Kay, McFadzean; Alli, Potter; Bowditch (Powell 78), Reeves (Afobe 58), Green; Grigg (Randall 74).
Unused subs: McLoughlin, Baldock, Flanagan, Hitchcock.
Goals: Alli (48), Powell (86).
Bookings: Grigg, McFadzean