Palace dominated throughout, and although Town pressed hard at 3-1 down, the visitors were worthy winners, atoning for Saturday's controversial loss at Bristol City when Freddie Sears had a clear goal wrongly ruled out.
Alassane N'Diaye's low cross was just too strong for Danns, who fired narrowly across goal himself after a 50-yard run while in between, Sears robbed a dawdling Gareth McAuley but shot wide.
Teen striker Connor Wickham looked lively for Town on his full League debut and saw one volley well saved by a diving Julian Speroni and a second close-range shot charged down by the Palace defence.
Ten minutes of added time was played in the first half for a variety of injuries but there was still no score, yet within five minutes of the second period, Ambrose had scored twice.
Wright had already beaten away a fierce Sears drive from an Ambrose pass, before Palace deservedly went ahead. Another ex-Blue, Alan Lee, crossing for Ambrose to send in a shot which deflected off Bruce and bobbled past the helpless Wright.
Within a minute it was 2-0 as Ambrose raced through the middle of the park, held off Colin Healy and Liam Trotter and fired a fierce shot up and over Wright.
Keane immediately made a double change, sending on Owen Garvan and Jon Stead for Healy and Tamas Priskin respectively, and it was Garvan who helped Town back into it on 62 minutes, crossing for Bruce to nod home at the far post.
Palace almost regained their two-goal lead when an Ambrose corner caused havoc in the Town box and after a spate of pinball Lee had a goal-bound effort blocked near the line by Trotter.
Town didn't heed the warning though and on 69 minutes they again made a mess of clearing another Ambrose corner, and when the ball found its' way back to him, his cross found Danns leaping to head home at the far post.
The result leaves Town three games without a win, having only mustered a disappointing 0-0 home draw against Leicester City at the weekend, and losing their opening fixture to Coventry by two goals to one.