Arthur netted 24 points with six rebounds, Gay added 23 points and Zach Randolph scored eight of his 14 points in the final 4 minutes for Memphis, which won for the sixth time in seven home games.
Memphis outscored Denver 14-6 starting the final period to produce a 96-96 tie with 8 minutes left. Arthur sank four consecutive free throws to put the Grizzlies ahead for good at 104-100 and Randolph then took over, scoring eight of Memphis' next 10 points to ice the win.
Mike Conley and Tony Allen added 17 points each and Marc Gasol had 15 and seven rebounds for Memphis.
Carmelo Anthony scored 28 points while Nene, J.R. Smith and Ty Lawson each added 14 for the Nuggets, who lost to Memphis for only the second time in 14 meetings.