Durant scored 33 points in the game with his final points coming when he banked in a shot that overcame the Warriors' one-point lead in the closing seconds and gave the Thunder their 20th win of the season.
Russell Westbrook added 31 points and sank two free throws with 1.1 seconds to play to close out the scoring.
The Thunder shot 52.4 percent from the field and a sizzling 20-for-21 from the free-throw line.
Oklahoma City's win overshadowed a career-high 48 points by Golden State's Monte Ellis. Ellis hit 18-of-29 from the field and was 3-of-6 from 3-point range.
David Lee added a triple-double with 25 points, 11 rebounds and 10 assists.