The Bucks never trailed and the win boosted them within two games of Indiana for the eighth spot in the Eastern Conference playoff race. Milwaukee is tied for ninth place with Charlotte.
Andrew Bogut chipped in 21 points and 12 rebounds for Milwaukee, which had a 10-point lead with less than 3 minutes to play.
New York lost its fifth straight game and fell to 7-11 since acquiring Carmelo Anthony in a huge trade last month.
Amare Stoudemire led New York with 28 points and Anthony had 25. The Knicks are in seventh place in the Eastern Conference, 3 1/2 games in front of Indiana.