Monta Ellis and Brandon Jennings each had 22 points and nine assists in Milwaukee's 117-113 victory over the New Orleans Hornets.
Mike Dunleavy added 17 points and Samuel Dalembert had 15 for the Bucks, who won their third in a row to move to 6-2 this season.
"We like where we're at record wise. I think we have some things to shore up. We can be better defensively, that's for sure," Dunleavy said.
Anthony Davis posted 28 points and 11 rebounds for the Hornets, who lost for just the second time in the last 13 meetings against the Bucks.
"I think that he played hard tonight," Hornets coach Monty Williams said. "He dove on the floor and finished around the basket. He's capable of having nights like that when he goes for a double-double. He makes plays, sometimes it doesn't look pretty but he finds a way to put the ball in the basket. He is only going to get better."
Ryan Anderson, who had 20 points, drained a 3-pointer to start the final quarter to give the Hornets a 94-91 lead. Beno Udrih and Jennings responded by hitting back-to-back shots from beyond the arc, and the Bucks were in front the rest of the way.
A tip-in by Anderson had the visitors within 112-110 with 1:35 remaining, but Ellis canned a fadeaway shot at the other end.
Larry Sanders came up with a crucial block of Anderson, who was denied on a drive for a dunk with under 20 seconds left.
Anderson's 3-pointer had it at 115-113 with 4.7 seconds to go, but Ellis sank two from the charity stripe to seal the outcome.
Greivis Vasquez had 13 points and 11 assists for the Hornets, who committed 20 turnovers, leading to 25 Milwaukee points.
The Bucks trailed by two after the opening quarter, but surged to a 17-3 spurt early in the second and led 60-58 at the half.
Tobias Harris and Ersan Ilyasova each scored 10 for Milwaukee, which went 13- of-25 from 3-point range ... Roger Mason Jr. scored 10 for the Hornets, who missed just one of its 22 foul shots ... The Hornets shot 53.2 percent from the field.