"Second effort, third effort, that was the emphasis, staying around that basket and playing physical. It worked in our favor tonight," Sanders said.
The Bucks held an eight-point lead late in the fourth quarter, but a 3-pointer by Curry cut it to 98-93.
After Ellis hit a jumper for the Bucks, a 3-pointer by Jack cut the Bucks' lead to 100-98 with 53 seconds remaining.
Ellis' 3-pointer with 32 seconds left gave the Bucks a five-point margin.
Jennings added two free throws to build the lead to 105-98. A Lee tip-in brought Golden State to within five points with less than 15 seconds left.
Ellis made two free throws for a 107-100 Bucks lead. He hit two more from the free throw line following a Lee basket to account for the final margin.
A 3-pointer from the top of the key by Golden State's Richard Jefferson as time expired gave the Warriors a 26-23 lead after the first quarter. Curry had 12 points in the period.
Golden State built a 20-13 lead, but the Bucks rallied to tie the game at 23 on back-to-back 3-pointers by Beno Udrih.
The Warriors led 55-51 at halftime, with Curry leading the way with 20 points, including three 3-pointers. Sanders led the Bucks with 12 first-half points. Mike Dunleavy added nine points on three 3-pointers to open the second quarter.
Milwaukee opened the third quarter on a 23-10 run. Jennings' fifth 3-pointer of the period gave the Bucks a 74-65 lead. Milwaukee held an 86-74 advantage at the end of the quarter.
Notes: There was no sign at the arena of the bat that repeatedly disrupted the Marquette-Providence men's basketball game earlier in the day. ... Warriors center Andrew Bogut, who was inactive for the game, made his first appearance at the Bradley Center since being traded, along with Stephen Jackson to Golden State last March. Bogut was the No. 1 overall pick in the 2005 draft. ... Bucks forward Larry Sanders extended his streak with at least one blocked shot to 29 consecutive games, tying San Antonio's Tim Duncan. ...Golden State forward David Lee had his 27th double-double of the season, matching Memphis' Zach Randolph for the league lead. ... Milwaukee Brewers star outfielder Ryan Braun attended the game.