Carmelo Anthony continued his hot shooting streak as he finished with 41 points and 14 rebounds on 17-of-28 shooting from the field. Anthony is now 52-of-81 from the field in the last three games and entered Friday's games just 0.02 points behind Kevin Durant for the scoring title this season.
Brandon Jennings led Milwaukee with 25 points on 9-of-20 shooting from the field.
The win was New York's 11th in a row and put them a full game ahead of the Indiana Pacers for second place in the Eastern Conference.
The loss was Milwaukee's second in a row and seventh in the last nine games to drop them to three games under .500 (36-39). Despite their recent losing streak, the Bucks still have a five-game lead over the Philadelphia 76ers for the eighth and final playoff spot in the Eastern Conference.