The Hornets would extend their lead as high as 13 after a Kaman jumper made it 70-57, but the Bucks closed out the third on an 8-2 run, as they trailed 72-65 heading into the fourth quarter.
Milwaukee stayed hot in the fourth as it opened up with back-to-back three- pointers from Jennings and then Mike Dunleavy to pull within one, 72-71, early in the fourth.
The combination of Jennings and Dunleavy again came through late in the quarter when they hit back-to-back threes around a Gustavo Ayon layup to cut the deficit to 89-87 with 1:15 to go.
The Hornets came up empty on their next trip, but the Bucks came up empty on the next two possessions as Kaman tipped a big offensive rebound to Belinelli to keep control. New Orleans then proceeded to hit 3-of-4 from the line to escape Milwaukee with a victory.
"I don't like just hitting the ball because I don't know where it's going. But on that one I knew Marco was right there," said Kaman about his work on the glass late in the game. "I just wanted to get the ball back for our team because we were only up two points and it was a key possession."
Drew Gooden led all scorers with nine points in a back-and-forth first quarter that saw the Bucks take the early 28-27 advantage.
The Hornets got five points in the final 30.9 seconds of the second as Ariza buried a triple and Donald Sloan converted on a layup to give New Orleans a 50-45 lead at halftime.
"We should win this game," said Ilyasova about the Bucks effort. "They are not a bad team, but you look at their record, and they are missing a lot of players. It's like I said, it's all about energy, and our hustle defensively and we couldn't really compete defensively against them."
Milwaukee will travel to Orlando on Friday, while the Hornets travel to New York on Friday...New Orleans guard Eric Gordon underwent arthroscopic surgery on his right knee on Tuesday that will keep him out at least six more weeks...Milwaukee got 43 points from its bench, while New Orleans had just 20.