The Bulldogs led 21-10 at halftime and appeared to be in firm control, but found themselves clinging to a six-point lead and facing a Kentucky drive that started near midfield with 2:08 to play.
Kentucky reached first down at the MSU 29 with 1:11 to go, but came up empty on its last four plays, culminating in quarterback Max Smith's pass intended for Alex Montgomery falling incomplete in the red zone.
It was the only fourth-down conversion the Cats did not convert out of five gambling attempts on the night.
Mississippi State's LaDarius Perkins escaped the grasp of UK linebacker Avery Williamson. (USA Today Sports)
"Disappointed," UK head coach Mark Stoops said. "Had our opportunities, (but) didn't make enough plays. Started slow again… got too far behind.
"It's very frustrating. It's getting old. We need to do a better job. We need to coach better, play better."
Kentucky (1-6, 0-4 SEC) began its comeback attempt with a safety after sacking MSU quarterback Dak Prescott for an 18-yard loss and seeing punter Devon Bell mishandle the long snap in the back of his end zone. The Bulldogs' miscue cut the margin to 21-12 with 5:26 remaining in the third quarter.
The Wildcats then took the free kick near midfield and scored five plays later on a 14-yard run by tailback Jojo Kemp. The freshman's first collegiate score was set up by runs of 16 and 8 yards by Raymond Sanders and Jalen Whitlow, who had just entered the game for the first time earlier on the possession to spark UK. He was "questionable" to play due to a severely sprained ankle he suffered against Alabama on Oct. 12.
Trailing only 21-19 at the 4:19 mark of the third quarter, Stoops called for an onside kick that was recovered by Kentucky's Javess Blue, further stoking the Cats' momentum. But officials flagged UK's Daron Blaylock for a controversial offsides penalty despite replays showing a marginal violation at best.
It proved to be a big momentum swing. Seven plays and a UK pass interference later, Mississippi State was back in the end zone on a 17-yard throwback pass from tailback Jameon Lewis to Prescott to make it 28-19 with 36 seconds left in the action-packed third quarter.
Kentucky sliced the lead to 28-22 with a 44-yard field goal by Joe Mansour with 8:15 left in the game, but could not take advantage after stopping the Bulldogs' final drive.
Prescott completed 23 of 34 passes for 268 yards and a pair of first-half touchdown passes for Mississippi State (4-3, 1-2 SEC). Lewis caught one of those passes, threw one of his own and rushed for a score to complete the rare trifecta. He finished with 53 yards receiving, 22 yards rushing and 17 yards pasisng on the night in a do-it-all peformance.
Mississippi State held a 447-325 total yards advantage in the turnover-free game.
Kentucky was led by Sanders with 86 yards rushing on 15 attempts. He flirted with the game-winner during the Cats' final drive, but was tripped up by an MSU shoestring tackle for a 6-yard gain on what could have gone for a 49-yard score.
Kemp added 63 yards rushing on 15 attempts for UK.
The Cats' offense struggled in the passing game once again with Smith going 18 of 34 for only 160 yards. Fifty-one of those came on a first-quarter touchdown pass to freshman wideout Ryan Timmons.
"We've got to continue to run it," Stoops said. "We're just as frustrated as fans. We want to throw it and be exciting. We need to be able to throw the ball better. We just can't do it very well right now, so the best thing we can do is keep people off-balance.
"I really think Neal (Brown) is working hard to try to find creative ways to run the ball and to throw it. There's plays there. We need to exectute better. It's frustrating."
Kentucky, which posted an 0-8 record in SEC play last year, has not won a league game since defeating Tennessee 10-7 on Nov. 26, 2011.
"What I told the team, it is what it is," Stoops said. "We're going to face it head-on, and go back to work, and we're going to keep on fighting and get better. Eventually, we're going to knock this door down and keep on winning."