Looking to improve on last week's late defeat at Derby, Darren Ferguson's men should have taken a grip on 12 minutes when Aaron McLean caught Wednesday goalkeeper Lee Grant well out of position but hurried his effort and sent the ball looping on to the top of the net.
It was a lapse that proved costly when Wednesday grabbed the lead on 21 minutes, O'Connor grabbing his first goal since moving from Burnley in summer 2008.
Home marking was lacking as Marcus Tudgay lifted the ball over from the right and Dublin-born O'Connor placed a header low into the corner of the net and well out of the reach of keeper Joe Lewis.
Within a couple of minutes, Tudgay was close to netting from Jermaine Johnson's centre and then Wednesday skipper Darren Purse almost beat Lewis with a 40-yard cross that the England Under-21 keeper just managed to palm over.
Michael Gray's flag-kick started an almighty scramble in the Posh area with a grounded Tudgay closest to scoring before Craig Morgan finally cleared.
Just after the break Toumani Diagouraga's surging run set-up Mackail-Smith only for last season's 26 goal top scorer to fire tamely wide.
Mackail-Smith more than made amends on 61 minutes, climbing above Spurr to reach a swirling Tom Williams cross and force a header past Grant.
In between, Johnson unleashed a low volley on the turn and Lewis produced a spectacular one-handed save diving to his right.
At the other end, the commanding Purse took the sting out of a Boyd drive with Grant scooping the ball to safety.