Carmelo Anthony led the Knicks with 24 points, and Tim Hardaway came off the bench to score 20.
Jared Dudley had 14 points in a reserve role for Milwaukee, and rookie Jabari Parker chipped in. The Bucks made 59.7 percent of their shots from the field and 12 of 24 3-point attempts.
Knicks starting point guard Jose Calderon leave the court just three minutes into the game because of a strained right calf muscle and never returned. The Spaniard, often plagued by injuries during his career, is expected to be a key figure in the new triangle system installed by new team president Phil Jackson and new coach Derek Fisher.
The Knicks made 37.2 percent of their total shots, and 40 percent from beyond the arc.
Fisher tinkered with the starting lineup in the team's second-to-last preseason game, penciling in power forward Amar'e Stoudemire at center. The oft-injured former All-Star had 14 points in 23 minutes.