The Bucks lifted the in-season tournament trophy with a 97-81 win, helped by 17 three-point shot conversions.
They were just one point up at half-time, but they stretched that to 19 early in the fourth quarter and were able to finish the job to claim the season’s first silverware.
Giannis Antetokounmpo was named MVP after claiming a triple double for the Bucks, adding 19 rebounds and 10 assists to his 26 points. Damian Lillard weighed in with 23 points, including five three-pointers.
Shay Gilgeous-Alexander scored 21 points for the Thunder, who failed to score at least 99 points for the first time this season.
Since starting the season 2-8, the Bucks have won 13 of their last 16 games and are up to fifth in the Eastern Conference.
The Western Conference-leading Thunder have lost all five of their matches this season when not leading headed into the final quarter.
In its second year, the competition is played in group stages with the final eight teams contesting the knockout stages. All games except the final count towards the regular season standings.