Jennings did not even play in the first quarter but was hot enough to eclipse the team rookie record of 51 points set in 1970 by Lew Alcindor, who later changed his name to Kareem Abdul-Jabbar.
Jennings, 20, hit 21 of 34 shots, including seven of his eight 3-point attempts. He was the 10th overall selection in the 2009 NBA draft after skipping college and playing in Italy.
Andrew Bogut added 19 points and 11 rebounds for Milwaukee.
Golden State was led by Monta Ellis' 26 points and Corey Maggette's 25.
Despite Jennings' heroics, the Warriors were within one possession of the lead heading into the final minute. Anthony Morrow missed a go-ahead try with 10.9 seconds to play and Jennings then hit a pair of free throws.