Allen finished with five 3s and a team-high 23 points. Chris Bosh added 16 points and 14 rebounds for the Heat, who have won 11 straight dating to the regular season and 40 of their last 42. Andersen had another big game, scoring 11 on 5-of-5 shooting and grabbing six rebounds in less than 14 minutes.
Wade had just four points, and his 1-of-12 shooting was his worst in a postseason game. But he contributed 11 assists, nine rebounds, five steals and two blocks.
"I shot the ball terrible," Wade, who is still nursing a bruised right knee, said with a laugh. "But we played a good game. Game 3 is a tough game. I thought, as a team, we showed a lot of guts, a lot of grit. When those guys came out hot, we stayed with it, we stayed with our game plan and were able to get a great win. There's nothing as satisfying as winning a Game 3 on the road. But it's over now. Now we have to focus on closing the series out."
Jennings and Larry Sanders had 16 each to lead six Bucks in double figures, and Sanders added 11 rebounds while Jennings contributed eight assists.
But the Bucks couldn't maintain the 10-point lead they took in the first quarter, when they shot 57 percent (12 of 21) and were 5 of 10 from 3-point range. Milwaukee was just 12 of 21 over the final three quarters (41 percent), and made only two more 3s.
"We had to fight for this one," Miami coach Erik Spoelstra said. "They came out with a great deal of intensity as we expected. Got us on our heels."
That the Heat will win the series is almost inevitable. No team has ever rallied from a 3-0 deficit to win a series in the NBA playoffs.
But it's when the series ends that matters now, for both the Heat and the Bucks.
"I hope we're still confident," Jennings said. "As a team, we need to stay together."
NOTES: Green Bay Packers quarterback Aaron Rodgers was at the game. ... Bucks fans were tough on all of the Heat players, even Allen, who spent his first six-plus years in Milwaukee, and Wade, whose No. 3 at Marquette hangs from the rafters at the Bradley Center. "I expect that," Allen said. "Even though I played quite a while here and won some big games, I'm still the opposing team. I didn't expect any special favors." ... Wade is the first player since Rajon Rondo on March 23, 2011, to have at least 11 assists, nine rebounds and five steals in a game.