The meeting, which took place in Herning, ended with a score of 2: 1 in favor of the guests.
The first championship victory in the current league season for Ajax was brought by goals from Anthony and Dusan Tadic, who scored in the 1st and 13th minutes.
Midtjylland responded with a goal from Anders Dreyer.
In the fourth round, Ajax and Midtjylland will play in Amsterdam.
The match will take place on November 25.
Earlier it was reported that Manchester City beat Olympiacos in the Champions League.