The Golden State Warriors succumbed to a 130-123 overtime defeat by the Oklahoma City Thunder as they were beaten for a sixth game in a row.
Chet Holmgren scored a three-pointer to level at 117-117 with seven-tenths of a second left in regulation time.
Team-mate Shai Gilgeous-Alexander then scored 10 of his 40 points in overtime to help the Thunder to victory.
Milwaukee were 12 points behind during the second half but outscored the Mavericks 43-27 in the final quarter on the way to the win.
“We’re building something special. You can feel it. I thought it was a great character game,” said Bucks coach Adrian Griffin.
The Miami Heat saw their seven-game winning streak brought to an end with a 102-97 defeat by the Chicago Bulls, while the Minnesota Timberwolves beat the New Orleans Pelicans 121-120 in another close game.
French rookie Wembanyama, 19, scored 19 points with 13 rebounds and eight blocked shots but the Spurs suffered an eighth straight loss.