The mid-season tournament was introduced last year, with the semi-finals and final taking place in Las Vegas, and the Bucks became the second winners with a 97-81 victory at the T-Mobile Arena.
Antetokounmpo registered 26 points, 19 rebounds and 10 assists before being named the tournament’s Most Valuable Player.
Damian Lillard added 23 points for the Bucks, while Shai Gilgeous-Alexander led the Thunder with 21 points but shot just eight-for-24 in a poor shooting performance from the Western Conference leaders.
Milwaukee led 51-50 at half-time and 77-64 heading into the fourth period, with Brook Lopez scoring successive three-point jumpers to stretch their lead to 86-66.
“I’m so proud of the group,” said Antetokounmpo, a two-time league MVP.
“Everybody was extremely locked in.
“We came in, we were focused, played great basketball, and we were able to win.
We had this goal as a team, and we accomplished it.”
Tuesday’s victory meant the Bucks continued their turnaround in form. After starting the season with a 2-8 record, the 2021 NBA champions have won 13 of their past 16 games.
All NBA Cup fixtures are counted as regular-season games except the final, with the Bucks now fifth in the Eastern Conference on 14-11.
“I wouldn’t say it completely flushes [the poor start] because we can’t get those games back,” said Lillard.
“But we’ve shown the team we started the season as is not the team that we are now, and it was never who we truly were.”
Jalen Williams added 18 points for a youthful Thunder team which sits atop the Western Conference (20-5).
“It’s rare to have a feeling like this where it feels like the play-offs, and we’ll kind of take it and learn from it,” he added.
“It’s a good opportunity for every team that’s in the cup, especially us being as young as we are, to simulate being in a different city for however long and kind of having a play-off feel to it.
It’s definitely good practice.”
