Oklahoma, which committed 15 first-half turnovers and 21 in the game, came no closer than seven points the rest of the way. The Blue Devils had an 11-0 spurt just before halftime to extend their lead to 46-27.
The Sooners scored 11 straight points and pulled within 49-40 on a basket by Nicole Griffin with 17:03 left. Oklahoma stayed within nine as late as the 12-minute mark, when Ellenberg scored to make it 59-50, but the Blue Devils scored the next eight points, capped by a 3-pointer by Peters.
Oklahoma again rallied and came within seven points three times in the final 39.2 seconds, the last at 92-85 on a 3-pointer by Ellenberg with 4.1 seconds, but came no closer as Duke went 7-of-8 from the free-throw line during that stretch.
Duke now is 18-3 all-time against Big 12 schools, having lost only to Oklahoma, Baylor and Texas.
Gray finished with 17 points, five assists and five steals for Duke while Sharane Campbell added 16 points and Nicole Griffin scored 15 for Oklahoma.