Jefferson led all scorers with 26 points and snagged 10 rebounds while Millsap scored 13 and bagged a dozen boards to improve Utah to 3-0 on their home court.
Gordon Hayward added 12 points for the Jazz, who shot 48.5 percent from the field to Milwaukee's 30.5 percent.
Drew Gordon led Milwaukee with 24 points and Stephen Jackson scored 16. The Bucks were 29-for-95 from the field, including 2-for-21 from 3-point range.
Utah led 62-55 at halftime and Hayward hit five points in the final 2 minutes to keep the Jazz comfortably ahead in the closing minutes.