Kevin Durant scored 26 points, including a key 17-foot jumper just before they beat the Dubs.
EXCLUSIVE VIDEO: Warriors president talks about 'Strength in Numbers' slogan
Russell Westbrook scored 24 of his 27 points in the second half for Oklahoma City, which trailed 60-47 at halftime. Westbrook also had 12 assists and seven steals.
Steven Adams made a pair of free throws for the Thunder with 1:01 remaining, and Klay Thompson missed a reverse lay-in moments later for Golden State.
PHOTOS: Warriors' Steph Curry accepts NBA MVP award
MVP Stephen Curry had 26 points and a playoff career-high 10 rebounds, but the Warriors missed too many shots down the stretch and lost their first game at Oracle Arena this postseason.
With his team down 105-102, Steve Kerr begged for a traveling call on Westbrook at midcourt with 17.2 seconds left, the NBA Coach of the Year signaling with his arms before going into a squat. Oklahoma City got a timeout instead. Westbrook made one free throw with 14.5 seconds to go.
Click here for the latest on the Warriors.