Domenico Berardi scored a hat-trick for the hosts to help them come from 2-0 down to lead the struggling Italian giants 3-2 at the break.
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The comeback began shortly afterwards, however, as Berardi raced behind the Milan defence before slotting the ball past Christian Abbiati for the game's third goal in the space of six minutes.
The hosts were back level just before the half-hour mark when Berardi reacted quickest to seeing his initial shot blocked, drilling his rebound home on the volley.
Balotelli flashed a shot just past the post for Milan as they looked to regain the lead, but it was Sassuolo who would take the advantage heading into half time as Berardi completed his hat-trick by converting an Alessandro Longhi cross in the 41st minute.