The Bucks had gone winless in their first eight road contests, but took advantage of a slumping New York team that has lost five straight.
Jennings made 15-of-26 shots from the field and hit six of Milwaukee's eight 3-pointers. His previous high point total had been 31, produced Jan. 5 against Sacramento.
Milwaukee had a 12-point lead going into the fourth quarter and then held New York to four points during the opening 6:30 of the period.
Shaun Livingston scored 18 points for the Bucks.
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