Jennings went 4-of-7 from 3-point range en route to 26 points. Ellis went 8-of-13 from the field on his way to 24. Marquis Daniels added 13 points and seven rebounds for Milwaukee, which recorded a second straight win.
The Bucks held a 29-point lead at one point but had to turn back a fourth-quarter Nets rally to secure the win.
Brooklyn fell to 1-4 since losing starting center Brook Lopez to a foot injury.