Milan won Serie A for the first time since 2011 this spring.
Now the club is chasing its second straight title.
But it was a tough start to the new season.
Udinese scored the first goal of the match after only 90 seconds of play through Rodrigo Becao.
But Milan came back.
After goals by Theo Hernandez and Ante Rebic, the team had turned to lead 2-1 after 15 minutes of play.
In added time, Udinese then equalized to 2-2 through Adam Masina and it was a draw at halftime.
In the second half, Brahim Diaz ensured that Milan regained the lead when he made it 3-2 in the 46th minute.
Ante Rebic later punctuated the match with his second goal when he scored the last goal of the match which meant 4-2.
And Milan opened the new season with a three-pointer.