Doncic scored a game-high 27 points and had eight rebounds and four assists in the 128-112 win on Monday at Fiserv Forum in Milwaukee.
Antetokounmpo -- the reigning NBA MVP -- had 24 points, 14 rebounds, four assists and three blocks in the loss.
"We gotta play better, defend better and make more shots," Antetokounmpo told reporters. "We have to realize what our roles are. It's going to take time."
Doncic scored seven points in the first quarter to help the Mavericks earn an early 32-28 lead. Antetokounmpo then poured in 11 points in the second quarter to help the Bucks rally for a 12-point lead. Milwaukee held a 69-59 edge at the break.
The Mavericks started the third quarter with a 7-0 run as they snatched momentum away from the Bucks. Doncic scored 14 points in the quarter to help Dallas take a 95-93 lead into the final frame.
The Mavericks went on a 14-2 run to start the fourth quarter to earn a 109-95 advantage. Dallas never lost that lead.
Josh Richardson scored 23 points and had seven rebounds for the Mavericks. Tim Hardaway Jr. chipped in 17 points in the win.
Bucks forward Khris Middleton had 13 points, six rebounds and five assists. Bobby Portis had 12 points in the loss.
"As a group, they stuck together," Mavericks coach Rick Carlisle said. "It was a long wait to get back in because I decided to play the starters basically the entire third quarter, both to see them close out a quarter and to get some conditioning. The second unit came out at the beginning of the fourth and did a really nice job."
The Bucks face the New Orleans Pelicans in their final preseason game at 8 p.m. EST on Friday in New Orleans. The Mavericks host the Minnesota Timberwolves in their final preseason game at 8:30 p.m. EST on Thursday in Dallas.
The 2020-21 NBA season starts on Dec. 22.