The Warriors lost all of a 14-point lead during the final 8 minutes and appeared to have lost the game as well when Russell Westbrook converted a 3-point try with 2 seconds remaining.
That gave the Thunder a 115-114 lead, but after a timeout the Warriors salvaged the game on Iguodala's jump shot off an assist by Klay Thompson.
Oklahoma City has lost consecutive games for the first time this year.
Oklahoma City's big three of Kevin Durant, Russell Westbrook and Serge Ibaka combined to score 78 points. Westbrook had 31 points and nine rebounds, Durant produced 20 points to go with seven rebounds and eight assists and Ibaka made all nine of his free throws for 27 points along with 13 rebounds.