Mario Mandzukic gave the defending champions the perfect start at the San Siro, but Juve's joy was soon cut short after the VAR adjudged Mehdi Benatia to have handled the ball inside the box.
Facing his parent club, the scene was set for Higuain, but his saved spot-kick spelled the beginning of a horror-show for the Argentine, who was later sent off for his troubles, and it appears Szczesny and Ronaldo were at the heart of it.
"We know each other well," Szczesny told Sky Sport Italia.
"I know that Higuain tends to take his penalties hard and low, so I was fortunate that it went well.
"Ronaldo told me to go early, because Pipita tends to take powerful penalties, but then I already knew that!"
Ronaldo, well acquainted with Higuain during the pair's time together at Real Madrid, was again the hero for the Old Lady, popping up to bury Milan's hopes of a comeback 10 minutes from full-time.
Speaking after the match, Higuain was quick to acknowledge Szczesny's tactic.
"Szczesny moved first, that’s why he got it," the 30-year-old said.
"I thought it was going into the side-netting, it was a great save. Only those who take penalties can miss them, it’s easy to say afterwards that it was wrong.
"I took the responsibility, I felt good about taking it. I think at the end of the day, we’ve got to keep our heads up, because we played well against a very strong Juventus side."