The Warriors defeated the team with the best record in the NBA, handing the Thunder their 10th loss of the season by overcoming an eight-point, fourth-period deficit.
Curry scored 33 points with seven assists and four steals and he got the best of Oklahoma City superstar Kevin Durant in the closing seconds.
The Thunder trailed by just two and had the ball with time ticking down, but Curry stole a pass by Durant with 12 seconds left.
Curry was immediately fouled and his two free throws all but clinched the victory. David Lee added 22 points and 12 rebounds for the Warriors, who have won three in a row.
Durant produced 33 points, five rebounds and nine assists. Kevin Martin added 16 points off the bench while Russell Westbrook was held to 10 points on 3-of-16 shooting. Westbrook came into the contest with an average of 22.7 points per game.