Jennings scored 15 of his 22 points in the second half to lead the Bucks to a 102-81 victory over the winless Washington Wizards.
"Right now we should really be 3-0," Jennings said. "We were up at halftime against Charlotte, and we lost a lead. And tonight we were up (24) at half and let a team come back. That is something we really need to focus on, especially going on a West Coast road trip. On the road in hostile environments you have got to be able to contain the lead and take over."
Jordan Crawford, benched in favor of Nick Young after scoring one point in a loss at Atlanta on Wednesday, led Washington (0-3) with 24 points. John Wall had six points on 1-of-9 shooting and four turnovers.
Ersan Ilyasova had 16 points, and Carlos Delfino, who missed the first two games of the season with a sprained right wrist, added 15 off the bench for Milwaukee (2-1). Andrew Bogut had 13 points, 15 rebounds and three blocks.
Jennings has scored 22, 24 and 22 points in three games this season.
"He has been very efficient," Bucks coach Scott Skiles said. "He is doing a good job in the first half of the games of moving the ball around and seeing people and kind of taking his scoring opportunities as they come. And then as the game has gone on he's gotten a little more aggressive, especially when we've struggled a little bit in those stretches.
"That's what the good players do."
The first half went about as badly as it could go for the Wizards -- starting with a technical foul called when Roger Mason Jr., who was not on the active list, checked into the game.
Mason had come in for Crawford with 3:27 left in the first quarter and scored on a baseline jumper seven seconds later. However, during a timeout at the 2:53 mark, the Wizards were whistled for the technical. The basket was later taken away from Mason and credited to Rashard Lewis. Jennings made the technical free throw to make it 25-18 Milwaukee, and Ronny Turiaf's dunk made it 25-20 before the Bucks poured it on.
Wizards coach Flip Saunders took responsibility for Mason being disqualified from the game. The Wizards public relations staff also took the blame.
The NBA provides a roster to teams to circle who will be inactive for each game. The list excluded Mason's name, and neither Saunders nor the PR staff caught the mistake before sending the final active roster to the league office.
The Bucks statistical staff noticed the mistake when they tried to enter Mason's basket.
"It's my fault," Saunders said. "I didn't notice it. I take responsibility for that. I thought he would have given us some help."
Said Mason: "It was just human error. Just a mistake. It happens."
Milwaukee outscored the Wizards 40-21 the rest of the half to take a 65-41 lead. The Bucks, 22nd in the league in field goal percentage coming in, shot 61.5 percent in the half to Washington's 34 percent. Young and Wall combined to go 1 for 11 in the first half.
Washington opened the second half on a 15-4 run, holding Milwaukee without a field goal for more than five minutes. The Wizards outscored the Bucks 26-13 in the period and trailed 78-67 after three quarters. Crawford had 12 points in the third.
"We are all young and we try to force it," Crawford said. "We all try to do it on our own, which I try to do all the time. Sometimes I want to come back as quick as possible."
Washington cut it to nine on a dunk by JaVale McGee to open the fourth, but the Wizards got no closer the rest of the way. They cut it to 88-77 with less than six minutes remaining, but the Bucks - who had blown double-digit, second-half leads in each of their first two games - used an 8-0 run to seal it.
Bogut said the late comebacks are not concerning, as the team looks ahead to games at Denver, Utah, Sacramento, the Los Angeles Clippers and Phoenix in the next nine days.
"We have no excuse for it, but at the same time we're not really pushing the panic button," Bogut said. "We're 2-1, and we've got room to improve on that."
Meanwhile, the Wizards, and Wall, are just looking for a win.
"Very disappointed," Wall said. "I think we could have won these two ones against the Nets and definitely the Bucks. We just didn't bring the energy. There is no way you could make the playoffs when you are not winning the close games and tough games against teams like this."
Said Saunders: "Bottom line is we got to figure it out and figure it out quick. We can't have it where we have some guys go out and compete, or if some guys are not playing well offensively it takes away our energy defensively."
And he said Wall is one of the problems.
"Wasn't good," Saunders said. "John has a tendency to get down on himself when he is not making plays. We got down big, he got down."
Wizards forward Andray Blatche again took to his Twitter page after a loss, this time apologizing to fans for his funk, saying he would focus on his defense and rebounding, and asking them not to give up on the team.. Bucks forward Luc Mbah a Moute missed his third straight game with right knee tendinitis. Mbah a Moute took part in the shootaround. "No idea," Skiles said, when asked how long he will be out. "We thought he was going tonight." Bucks forward Tobias Harris, the team's first-round pick in 2011, also has yet to play for Milwaukee with dehydration issues.. The Bucks assigned rookie guard Darington Hobson to the Fort Wayne (Ind.) Mad Ants of the NBA Development League. Hobson was the 37th overall pick in the 2010 draft out of New Mexico but missed the 2010-11 season after undergoing hip surgery.