The result could be deemed a fair one, as a post from Mario Balotelli was negated when PSV hit the woodwork as well.
Ignazio Abate's first quality cross since 1963 proved to be the opening dagger, as it found the finely cured head of Stephan El Shaarawy to give Milan the lead.
Here are five things we learned from this pivotal Champions League clash.
I tweeted before the match that I expected El Shaarawy to be the catalyst against PSV. Il Faraone is coming off a fantastic preseason where he found his scoring touch in the 2013 International Champions Cup.
Against PSV, he ran his heart out and linked up fabulously with Mario Balotelli.
Expect El Shaarawy to continue his scoring streak in Milan's season opener this weekend against Hellas Verona.
Despite Balotelli's brilliance throughout the match, capped off by PlayStation-type tricks and passes, he remains plagued by occasional mental blunders.
Even though his attitude has improved immensely, he still seems to be one pointless yellow card away from being thrown out of the match.
His petulance leads to the opposition targeting him when they go in for hard fouls, trying to stir him up even further and hope that he finally does erupt.
It's the sad reality which has engulfed the proud franchise of PSV: Most players who show world-class skill will likely be plucked away from the Dutch giants.
Phillip Cocu's starting lineup had an average age of 22, and the likes of Memphis Depay and Adam Maher showed that they'll likely be superstars in the making.
Maher in particular was fabulous, as he tested Christian Abbiati from long range—including once on a spectacular volley. If you haven't heard of him yet, expect him to become a household name quite soon.
Milan coach Massimiliano Allegri still isn't quite sure what his best side is.
Will new acquisition Andrea Poli take Sulley Muntari's place? Can young starlet M'Baye Niang carve himself a role and take advantage of Kevin Prince Boateng's inconsistency?
These are some of the questions Allegri will be plagued with going into the new season.
Another interesting tactical change was putting Urby Emanuelson as a left-back against a team he knows quite well from his days with Ajax.
Since Emanuelson joined Milan, Allegri has been set on turning him into a faux trequartista or pure winger.
Although PSV fields an electric side, their lack of experience will ultimately be their downfall as they head to Italy for the second leg.
Milan will have the legendary San Siro crowd urging them on in a stadium where they managed to defeat the mighty Barcelona only a few months ago in the Champions League.
Second-Leg Prediction: Milan 2-0 PSV
Do you agree with my prediction or will it go the other way? Leave your opinion in the comment section!