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(1) Background: Spatial cognition (SC) is one of the earliest cognitive domains to be impaired in the course of Alzheimer’s disease (AD), resulting in spatial disorientation and becoming lost even in familiar surroundings as later dementia symptoms. To date, few studies have identified initial alterations of spatial navigation (SN) in the premorbid AD phase by real-world paradigms, and none have adopted an innovative technological apparatus to better detect gait alterations as well as physiological aspects correlated to spatial disorientation (SD). The present study aimed at exploring initial SN defects in patients with prodromal AD via a naturalistic task by using a sensory garment. (2) Methods: 20 community-dwelling patients with Mild Cognitive Impairment (MCI) due to AD and 20 age/education controls were assessed on their sequential egocentric and allocentric navigation abilities by using a modified version of the Detour Navigation Test (DNT-mv). (3) Results: When compared to controls, patients with MCI due to AD exhibited higher wrong turns (WT) and moments of hesitation (MsH) in the DNT-mv, reflecting difficulties both in sequential egocentric and allocentric navigation, depending on hippocampal deterioration. Moreover, they reported more complaints about their SN competencies and lower long-term visuospatial memory abilities than controls. Remarkably, WTs and MsH manifested in the allocentric naturalistic task of the DNT-mv were associated with autonomic nervous system alteration pertaining to cardiac functioning in the whole sample. (4) Conclusions: Naturalistic navigation tests of hippocampal function using a continuous non-invasive monitoring device can provide early markers of spatial disorientation in patients with MCI due to AD. Future studies should develop cognitive remediation techniques able to enhance SC residual abilities in patients at high risk of conversion into dementia and ecological paradigms to be replicated on a large scale.