Mike Conley and Darrell Arthur added 14 points, and Marc Gasol had 10 points for Memphis.
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Drew Gooden led the Bucks (3-2 )with 13 points, while Chris Douglas-Roberts and Brandon Jennings added 12 points each. But the Bucks' starting guards were a combined 7 of 22 from the field and Milwaukee shot 33 percent overall.
Bucks center Andrew Bogut's return from injuries to his right arm and hand was delayed Saturday night because of a migraine headache. The Australian star dislocated his elbow, sprained his right wrist and broke his right hand April 3 against Phoenix when he fell after a dunk.
The Grizzlies built their lead to 15 early in the fourth quarter, and Milwaukee never got closer than eight points the rest of the way.
Memphis carried a 51-46 lead into halftime, matching the largest advantage of the first half. Gay had 11 at that point for Memphis.
Both teams pushed the defense in the first half, pressure that contributed to turnovers -- 12 for Memphis, 11 for Milwaukee -- and mediocre shooting. Neither team built a significant lead and both tried various lineups.
Part of the reason for the shifting Milwaukee combinations was foul trouble. Starting frontliners Gooden and Ersan Ilyasova had three fouls before the half, and rookie forward Larry Sanders had five and eventually fouled out. That led to veteran Brian Skinner, signed by the Bucks on Sept. 28, getting his most minutes (28) of the preseason.
Milwaukee's Douglas-Roberts and Jennings were at the University of Memphis opening public practice Friday night and judged the team's dunk contest. Douglas-Roberts played three years for the Tigers. ... Memphis last won six preseason games before the 2005-06 season, the last time the Grizzlies went to the playoffs.