Kentucky improved to 18-7 overall and 6-5 in league play, while MSU fell to 13-12 and 5-6.
The Bulldogs had their second best 3-point shooting night of the season. MSU hit 12 of 22 shots from 3-point range - the most in a conference game this season. The Maroon and White scored the game's first five points and never trailed in the first half.
"There are no moral victories, but our kids came in here with a great frame of mind," MSU head coach Rick Stansbury said. "We came in here, feeling like we had a chance to win the game. We can leave here, feeling the same way. When we play that way together, we have an opportunity to beat anybody, anywhere."
An old-fashioned 3-point play by Renardo Sidney placed the Bulldogs on top 24-13 with 10:40 left in the first half. Kentucky scored the game's next seven points, but MSU was not deterred.
A 3-pointer by Dee Bost ran the MSU advantage to 31-25 with 5:43 left before halftime. A pair of free throws by Ravern Johnson placed the Bulldogs on top 35-30 and later 40-35.
After Johnson's last two tosses were true, only five seconds remained in the half. With a foul to give, MSU's Brian Bryant fouled UK in the backcourt. UK inbounded again. This time, with 1.1 seconds left, Bryant was called for fouling Brandon Knight in the act of shooting from just inside mid-court.
On this play, the MSU bench was also called for a technical foul. Knight hit four of five free throws to bring the hosts within 40-39 at halftime.
"We had a bad last three seconds before halftime," Stansbury said. "The difference in the game was in the second half, they got out in transition. They got a couple of layups and knocked down a couple of 3's in transition. You are going to have turnovers on the road. However, we were really efficient tonight. We weren't as efficient inside in the second half. You have to be good offensively and defensively for 40 minutes to win on the road."
Kentucky took its first lead by scoring the first four points of the final half. MSU answered with the game's next eight points. A 3-pointer by Bost staked the Bulldogs to a 48-43 lead with 17:18 left to play.
The Wildcats then took control of the contest with a 15-2 run. A 3-pointer by Darrius Miller, followed by a steal and layup by Miller ran the Wildcats out to a 58-50 lead with 13:37 left.
Behind a sensational effort by Jalen Steele, the Bulldogs still hung tough. Steele finished with a career-high 17 points, including 14 points in the second half. The freshman guard hit four 3-point baskets in the second half, as the Bulldogs tried to rally.
The Bulldogs closed back with three at 58-55 on a Johnson trey with 11:18 left. Knight then took over, with a couple of critical 3-point baskets as UK streaked to a 77-67 lead with 5:09 left. A follow-up 3 by Doron Lamb ran the lead to 83-70.
UK would then miss the front end of back-to-back one-plus-ones, allowing MSU one last rally. The Bulldogs scored nine straight points. A dunk by Johnson brought the Bulldogs within 83-79 with 43 seconds left.
One possession later, free throws by Terrence Jones closed out the win for the Wildcats.
For the contest, the Bulldogs hit 25 of 53 shots from the field (47.2 percent), 12 of 22 shots from 3-point range (54.5 percent) and 17 of 19 shots from the foul line (89.5 percent). The Wildcats hit 32 of 57 shots from the field (56.1 percent), 9 of 22 shots from 3-point range (40.9 percent) and 12 of 18 shots from the foul line (66.7 percent).
MSU held a 29-26 rebounding advantage. The Bulldogs had 13 assists and 15 turnovers, while the Wildcats had 14 assists and 10 turnovers.
Johnson paced the Bulldogs with 21 points, including a 4-of-5 night from 3-point range and 7-of-7 night from the foul line. After Steele's 17 points, Bost scored 16 points, Sidney scored 11 points and Kodi Augustus scored 10 points.
Sidney finished with a team-high eight rebounds. Bost, a junior guard, dished out four assists, while topping a career mark of 400.
Jones had a conference-best ninth double-double to pace UK, scoring 17 points and pulling down 10 rebounds - all defensive. Knight led UK with 24 points, while Lamb scored 20 points. Miller added 13 points in a winning effort.
MSU returns home to host in-state rival Ole Miss Saturday. Tip-off is set for 12:30 p.m., with the contest slated for regional television by the SEC Network. The two-game homestand concludes with LSU coming to the Humphrey Coliseum next Wednesday.