Jennings dished off 10 assists as Milwaukee sped to its fifth victory in six games.
J.J. Redick also reached double figures with 15 points for the Bucks.
The short-handed Warriors lost their second game in as many nights in the absence of leading rebounder David Lee (knee).
Carl Landry supplied a double-double of 18 points and 10 boards in the loss.
Klay Thompson helped out with 18 points as well while Stephen Curry provided 16 points and 10 assists for Golden State.