In an astonishing start, Hakan Calhanoglu collected the ball straight from the kick off and opened up the Sassuolo defence with an incisive pass to Leao and the Portuguese beat goalkeeper Andrea Consigli with an angled drive.
After Calhanoglu had a goal disallowed for offside in the build-up in the ninth minute, Alexis Saelemaekers added a second following a powerful Theo Hernandez run in the 26th minute. Domenico Berardi pulled one back for Sassuolo late in the game.
Rossoneri boss Stefano Pioli said after the match they had practised the moved which led to the early goal in training.
"We have four or five possible situations for the kick-off which we alternate," he said.
"We wanted to approach the game the right way from the start. We did very well to score after just six seconds and (Brahim) Diaz, (Hakan) Calhanoglu and Leao made the right movements."
Milan, again missing injured forward Zlatan Ibrahimovic, remained unbeaten after 13 games and lead the standings with 31 points, one ahead of their neighbours Inter Milan.
Two consecutive draws had seen a five-point lead cut to two, and Pioli said it was important to get back to winning ways.
"There are times when games are more important than others," he said. "We were not satisfied with the last two draws, we always play to win.
"This match carries a lot of weight from a mental point of view, we wanted to win and it gives us a lot of satisfaction."
Information from Reuters was used in this report