The first period belonged to Madrid as the Spaniard's had the best of the chances, Casemiro hit the crossbar before opening the scoring in the 24th minute. Karim Benzema and Romleu Lukaku came close towards the end of the half but Zinedine Zidane's side had done enough to take their lead into the break.
Madrid dealt a big blow early in the second period with Isco's effort in the 52nd minute before Lukaku's blazing miss, Gareth Bale then hit the bar before Lukaku's effort gave United hope but it wasn't enough to stop Madrid lifting the first piece of silverware of the campaign.
Third time lucky
The Philp II Arena was the host of the first competitive match of the season for both sides, United had the upper hand in their friendly last month but it was Madrid who hit the ground running in the Macedonian capital.
Casemiro caused United problems in San Francisco in July and was it again early on, the Brazilian did well to beat Victor Lindelöf to the header as the ball was played into the area but it cannoned back off the crossbar.
Another chance was squandered before it proved third time lucky as Casemiro opened the scoring, it was a great ball over the top from Dani Carvajal and once again Casemiro got in behind Lindelöf and volleyed it into the far corner, It did look like that their was a hint of offside against the midfielder, but the flagged stayed down.
Starting to become a contest
Madrid didn't look to be letting up as the half went on as Madrid continued to push United's defence to brink, but The Red Devils were gifted their first chance before the half came to a close.
There were shouts for a penalty as Luka Modrić went down under the slight pressure of Lindelöf, the ball deflected into the path of Benzema and the Frenchman forced a decent save from David De Gea.
José Mourinho will have been disappointed in his side as their first chance didn't arrive until first-half added-time, the ball in from Paul Pogba found the head of Lukaku but the Belgian's header was straight into the arms of Keylor Navas.
Plans thrown out of the window
There will have been no doubt that the words of Mourinho will have been ringing in the ears of the United players as they came out for the second period, but the coach's plans were thrown out of the window as Madrid added a second just after the restart.
The half was only two minutes old when Madrid had their first chance as Bale tee'd it up for Toni Kroos, but his fizzing effort was put behind well by De Gea. Another chance arose from the subsequent corner as Marcelo dispossessed Henrikh Mkhitaryan as he looked to clear, the full-back bombed into the area but Chris Smalling's deflection took it into the side-netting.
The defender could do nothing however to prevent Madrid doubling their lead in the 52nd minute, it was a patient build-up from Madrid which started with Isco who was sent through by the one-two from Bale and coolly slotted it into the bottom corner.
United were handed a big opportunity back into the game seconds later as Pogba's header from Ander Herrera's cross is parried by Navas, it was straight into the feet of Lukaku but somehow the new £75million signing put it well over the crossbar.
Making up for earlier errors
The game was beginning to kick into life and it was put up a level just after the hour mark, as Bale was made to regret his miss as United handed themselves a lifeline.
Bale had been subject to heavy rumours of a possible move to Old Trafford in the last few days, and he certainly showed Mourinho what he could do as he went one-on-one with De Gea but the Welshman's effort clattered the underside of the crossbar.
Just seconds after conceding United managed to get themselves back into the contest and it was shred of redemption for Lukaku, it was poor from Navas as he only could parry Nemanja Matić's effort back into the mixer and Lukaku made no mistake as he slammed it home from close-range.
Pushing it right to the end
As the half went on desperation started to creep in as United looked for an equaliser, and young striker Marcus Rashford was handed an excellent opportunity.
Mkhitaryan played a great through ball to the young Englishman who was clean in on goal, the extra touch proved to be his downfall as Navas did well to put it behind.
Madrid nearly made sure of the result in extra-time with some excellent play, Lucas Vázquez did excellently with some trickery to get away from the United defence before squaring it Marco Asensio but De Gea did brilliantly to tip it over the crossbar, in the final significant act of the game.