Returning ex-Steelers Andreas Valdix and Eric Neiley both scored in front of 9,000 Sheffield fans in the home side's opening league game of the season.
Milton Keynes Lightning pressed early on and David Norris and Valdix both had chances.
Sheffield fluffed two Power Play opportunities - and it was costly.
MKL emerged from their protective shell and Valdix found plenty of room to beat Jackson Whistle at 11;08.
Steelers, who ended up empty-handed last season for the first time in five campaigns, then conceded again from Neiley as MKL's speed-kings tore the home side apart at 13;39.
They looked vulnerable to fast transition.
But 21 seconds later Aaron Johnson halved the arrears - the defenceman's second goal in two games, setting up an interesting second period.
Sheffield dominated the middle period, although they were wasteful with chances at the curtain end.
Robert Dowd and Chris Lawrence were culprits, but the match exploded when James Griffin delivered a high hit on Jonathan Phillips.
Lawrence waded into Griffin to extract revenge.
It revved Steelers on and a fine Justin Buzzeo wrist shot equalised for 2-2 at 31;15.
But the visitors went ahead when Joonas Huovinen struck just before the second interval, Valdix assisting.
Lightning cleverly absorbed wave after wave of Steelers attacks, using courage and ingenuity.
They had chances on the break, too, Michael Fine and Cole Shudra testing out Whistle.
There were no shortage of scrums outside Patrick Kileen's crease at the other end.
But occasionally, Steelers players, desperate to change things, would over-play the puck.
Josh McFadden's burst down the middle set up Dowd but he was denied.
And there was an exchange of one-on-ones with the goalie, Griffith and Buzzeo both beaten by respective goalies.
Coach Paul Thompson called a time out with 43 seconds remaining - but his side just couldn't penetrate MKL's rearguard.
*Dowd was helped off after an injury just before the end - that's possibly the worst element of the whole night.