The Bucks made it more exciting than they wanted to, blowing a 16-point lead Sunday against Chicago, then hanging on for a 93-86 victory.
Giannis Antetokounmpo scored 27 points and took down 16 rebounds.
The Bucks had lost the first game in five of their last six playoff series.
A basket by Nikola Vucevic gave the Bulls a narrow 78-77 edge with about six minutes left.
A 3-pointer by Jrue Holiday put Milwaukee back on top to stay. Milwaukee goes up 1-0 in the first-round NBA playoff series.
Game 2 of the series is set for Wednesday night at the Fiserv Forum.
