Mike Conley finished with 17 points, and his three-point play with 30.3 seconds remaining gave Memphis the lead for good as the Grizzlies (2-2) outscored the Bucks 10-2 in the final minute.
Brandon Knight led the Bucks (0-4) with 19 points, while Khris Middleton added 15. O. J. Mayo had 14 points, including converting 4 of 5 from beyond the arc. His consecutive 3-pointers gave the Bucks a 97-92 lead with 1:04 left before the Grizzlies made their final push.
Memphis led by as many as 11 in the first half before taking a 54-49 lead into the break.
The Grizzlies played without regular rotation players, Mike Miller, Zach Randolph, Tayshaun Prince and Kosta Koufos.