Milwaukee (28-41) is tied with Charlotte for ninth place in the Eastern Conference, 1 1/2 games behind Indiana for the final spot in the playoffs.
"We're making shots, we're playing better defense," said Delfino, who missed 2 1/2 months with a concussion this season. "It's just the pressure we have that we need to win, it's the time of the year to make the last run. We don't have too much margin [for error]. We're trying really hard to get in the playoffs."
New York (35-34) is stumbling toward mediocrity after losing five of the last six. The Knicks are 7-8 since trading for Carmelo Anthony, who had 23 points on 7-of-14 shooting. They seem 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're frustrated, and that's good," Knicks coach Mike D'Antoni said. "We're trying to get this done. We'll get it done. It's just a matter of staying calm and knowing our problems and working through them."
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.
The Knicks never tied the game or took a lead, but had multiple chances in the fourth quarter. With the Bucks 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.
"I do love my step back move," Jennings said.
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.
"That's what we've been trying to do since Day 1," Salmons said. "The Knicks, they're in the playoffs, they've got a spot. For us, we're not in yet, we're still fighting."
Milwaukee, which has been the lowest-scoring, worst-shooting team all season, seems to be coming out of its funk down the stretch. The Bucks could get back Drew Gooden (left foot), Ersan Ilyasova (concussion) and Michael Redd (left knee) in the next week to provide instant depth on its thin bench, which scored two points against the Knicks.
A game after Delfino made a career-high eight 3-pointers in a 110-95 win over the Nets, he was back at it again. Delfino has hit 14 of his last 22 3-point attempts and snapped Milwaukee's 0-for-7 start to the fourth quarter.
"If he can shoot the ball the way he is, we'll be a dangerous team going into the postseason," Bogut said.
New York's stars all finished with at least 20 points, but none could get the Knicks over the top.
Amare Stoudemire finished with 25 points and 11 rebounds, and Chauncey Billups scored 21 points before fouling out with 2:46 left. 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.
"There's no time for anybody on the team to panic," Anthony said. "We're losing some games that we're supposed to win, but I feel that it's a learning process for us. I'm not really concerned about where we are as a team or us losing games or winning games, as long as we get better at the things we need to get better at, then I'm cool with that."
The Knicks got off to a dismal 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.
"Our offense wasn't that great, but I don't worry too much about the offense, honestly, just the defense," Billups said. "Outside of that first quarter, I thought our defense was pretty good."
The last time the Knicks scored nine points or fewer in any quarter was Nov. 14, 2007, against the Clippers. The last time they scored nine points or fewer in the first quarter was Nov. 21, 1956, 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." He left that night without taking questions.