Jennings had 14 points and 11 rebounds to go with nine assists and Milwaukee built a 23-point first quarter lead only to watch it evaporate in a half-court struggle.
Milwaukee is tied with Charlotte for ninth place in the Eastern Conference, a game and a half behind Indiana for the final spot in the playoffs.
New York is stumbling toward mediocrity after losing five of the last six. The Knicks are 7-8 since trading for , who had 23 points on 7-of-14 shooting.
The Knicks never tied the game or took a lead, but had multiple chances in the fourth quarter. Leading 86-84, Delfino, who also had 11 rebounds, hit two free throws and made a 3-pointer to put Milwaukee up 91-84 with 1:43 left.
Landry Fields answered with a 3 to cut it to 91-87. Delfino and Anthony traded two free throws before Jennings hit a fadeaway with 26 seconds to play that put Milwaukee ahead 95-89.
New York never got a chance to tie it in the final seconds despite desperation 3s by Anthony and Fields that twice cut the lead to three points.
Andrew Bogut had 13 points and 12 rebounds, Luc Richard Mbah a Moute scored 19 points, including 13 for 13 from the line for a new career best, and John Salmons chipped in 22 points.
Milwaukee, which has been the lowest scoring, worst shooting team all season, seems to be coming out of its funk down the stretch and could get back Drew Gooden, Ersan Ilyasova and Michael Redd in the next week.
A game after Delfino made a career-high eight 3-pointers in a 110-95 win over , he was back at it again. After the Bucks missed the first seven shots of the fourth quarter, Delfino knocked down a 3 and Bogut hit a hook shot in the lane to give the Bucks an 82-74 lead.
Amare Stoudemire, who finished with 25 points and 11 rebounds, scored five straight, but Chauncey Billups missed a chance to tie it with a 3-pointer with 4:35 left. On the rebound, Bogut and Anthony got tangled up and drew double techincals.
Billups also made one of two free throws to cut the lead to 85-82 a minute later, but Billups fouled out with 21 points on the next possession with 2:46 left when Anthony missed a jumper and Billups banged into Jennings.
Anthony, who had his worst game of the season with a 2-for-12 effort in a loss to Detroit on Friday night, never seemed to get into a rhythm until the end.
The Knicks appear destined for the sixth or seventh spot in the Eastern Conference playoffs, meaning they’ll have to face either Boston, Chicago or Miami in the first round.
They got off to a putrid start in this one, missing 11 of their first 12 shots to fall behind by double digits in the first six minutes.
New York trailed 32-9 after the first, the lowest scoring first quarter for the Knicks in 55 years, according to STATS, LLC, and the worst offensive output in any quarter in nearly four years.
NOTES: The last time the Knicks scored nine points or fewer in any quarter was Nov. 14, 2007 against the . … The last time they scored nine points or fewer in the first quarter was Nov. 21, 1956 was against Fort Wayne, according to STATS, LLC, when they had a franchise-low five. … Anthony spoke to reporters for about five minutes before the game, calling his performance in Detroit a “rare day that I allowed myself to get frustrated. It happens.” Anthony said he talked to his teammates and Knicks coach on Saturday to assure them that it wouldn’t be a continuous thing. “All around, just a bad day,” Anthony said.