Atletico were powered by an 83rd-minute header by Diego Costa off a corner kick.
The win puts the Spanish side in pole position to win the tie with the second leg being played at the Vicente Calderon Stadium on March 11.
Before we look ahead to the second leg, let's look back at the first leg and note six things we learned from the clash in Northern Italy.
All statistics obtained from WhoScored.com.
The reason why Diego Costa was able to score his goal late in the match was the poor marking by AC Milan centre-back Adil Rami.
Rami was caught staring at the ball coming in from the corner and not the forward inching back to gain space behind him. Because of that lack of focus, Costa was able to nod a shot past Milan keeper Christian Abbiati and give Atletico a strong advantage heading into the second leg.
The goal marked the fifth time in four matches that Costa has scored in the Champions League.
Surprisingly, Adel Taarabt was the best player on the pitch for the Rossoneri on Wednesday, as he drove forward in attack on numerous occasions.
The 24-year-old, who has spent the last few years searching for a permanent home in England, may find one in Milan if he continues to play like he did in the first leg.
The Moroccan midfielder had four key passes, the second-highest amount of touches (70) and a 78 percent pass accuracy.
Despite being able to break through the Atletico midfield, most of Taarabt's chances ended in missed opportunities for the hosts.
When his team was still in search of an attacking impetus in the first half, Thibaut Courtois was busy saving his teammates' bacon in net.
In the 18th minute, Courtois made a big save on a shot from Andrea Poli that would've given the hosts all the momentum had it found the back of the net.
While the stat sheet shows that the young Belgian made just two saves in the entire match, one of those may have saved the tie for his club without anyone even realizing that when it occurred.
Selfishness is a quality that all goalscorers possess, but sometimes it can get in a player's way.
That is what happened to Mario Balotelli in the 70th minute when he waved off Kaka and Urby Emanuelson to take a free-kick.
At that point in the game, Milan were in need of a goal and someone like Kaka could have delivered something different in the set piece department than a shot into the wall like Balotelli offered.
Neither Balotelli nor Kaka had their best game up front, but when the time called for a small switch in the set piece plans, the towering Balotelli did not give in to the request of his teammate and may have cost the Rossoneri a major goalscoring opportunity.
Want to know why Balotelli and Kaka had rather average days at the office?
Look no further than the centre-back pairing of Diego Godin and Miranda.
Godin won 100 percent of his aerial duels while recording a 97 percent pass accuracy on just 47 touches. The defensive stalwart for Atletico also made 10 clearances in the game, all of which were effective.
All of Miranda's clearances were effective as well, while his pass accuracy was 94 percent.
When a pair of defenders is that efficient at the back, no forward will have a pleasant day on the pitch.
AC Milan needed to score at least a goal or two at home in the first leg and that is something they failed to do.
As the second leg approaches in three weeks, Clarence Seedorf's men will be at a major disadvantage because of the spectacular home record of the La Liga leaders.
In 13 home league games this season, Atletico have dropped just four points and conceded just seven goals. In Champions League group play, Diego Simeone's club won all three of their home matches and conceded just once.
Based off of those stats, it will be a total shock to the whole of Europe if the Rossoneri pull off a win in Madrid.
Follow Joe on Twitter @JTansey90.