There are many hot discussions in the literature about two competing paradigms in galactic and extra-galactic astronomy and cosmology, namely the Dark Matter and the Modified Newtonian Dynamics (MOND). It is very difficult to challenge MOND from the cosmological side because a full relativistic realisation is needed in the first place, and any failure can then be attributed to a particular model, and not to the MOND itself. We propose to study non-relativistic stages of gravitational collapse in MOND which, we argue, is a relevant task for this competition. Spherically symmetric dust cloud collapse and intrinsic unavoidable non-linearities of the deep MOND regime are discussed. We conclude that complicated, both numerical and analytic, studies of modified gravitational dynamics are needed in order to assess the viability of MOND.