Danilo Gallinari scored 19 points, Dennis Schroder added 18, and the Thunder beat the Warriors 114-108 on Saturday night.
Oklahoma City led by 23 late in the second quarter before Golden State roared back to tie the score heading to the fourth. The Thunder then went up by 14 midway through the fourth, and the Warriors mounted another rally before falling short.
"I mean we showed that we can turn it on, but you know that's not going to work most nights in the league," said the Thunder's Chris Paul, who had 16 points and nine assists.
Steven Adams scored 13 and Shai Gilgeous-Alexander added 12 to help the Thunder win for the third time in four games.
D'Angelo Russell scored 17 of his 32 points in the third quarter to lead Golden State, including a 3-pointer at the buzzer to tie the score at 84-all. One night earlier, Russell had a career-high 52 against Minnesota.
Alec Burks had 23 points for the Warriors, and Glenn Robinson III finished with 18. Omari Spellman sprained his left ankle and didn't return after halftime.
"We are a young team that is learning, but I'm not happy with where we are," Warriors coach Steve Kerr said. "We should not just accept our fate. We shouldn't feel sorry for ourselves and say well we have all these injuries and you know we are playing two-way guys or whatever and going for the lottery and all this crap. We should win some games"
After Golden State took an 88-86 lead on Willie Cauley-Stein's jumper early in the fourth, Paul scored four points during Oklahoma City's 9-0 run to regain the lead for good. Hamidou Diallo's jumper pushed the advantage to 106-92 with 5:01 left.
"We knew that we were not playing with the right intensity and we needed to bring it back," Gallinari said. "We didn't bring it in the third quarter. We did a good job in the first two quarters and so it was about the intensity of the game."
The Warriors pulled to 112-108 with 17.7 seconds to go, but that was as close as they got.
Golden State: The Warriors were able to rally from their 23-point deficit thanks to their free-throw shooting. They went 17 for 17 from the line, with Russell making his six attempts while Burks made his five.
Oklahoma City: The Thunder had 30 assists on 43 made baskets, using terrific ball movement and great screens to spring shooters. Schroder led the Thunder with six assists. "I think we moved it really well especially in the first half," Mike Muscala said. "I think all of our guards do such a good job finding guys and moving the ball. It's fun to play like that."
The Thunder weren't afraid to shoot, going 14 for 30 (46.7 percent) on 3-point attempts after coming into the contest averaging 35.7 percent. Muscala, who made only one 3 in the team's first eight games, was 3 for 5 from beyond the arc, and Darius Bazley made all three of his attempts.
Warriors: Host Utah on Monday night.
Thunder: Host Milwaukee on Sunday night.
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D-Lo banks 3rd-quarter buzzer beater from the logo
The Warriors inbound the ball with six seconds left on the clock and D'Angelo Russell pulls up from the logo to even the score heading into the fourth quarter.