The Bucks swept the season series with the Lakers for the first time since 2006-07. Knight scored a career-high 37 points in Milwaukee's 94-79 victory on Dec. 31 in the other meeting.
Khris Middleton added 14 points for the Milwaukee, which won for only the 14th time this season.
Jordan Hill had 28 points and 16 rebounds for the Lakers, while Nick Young added 17 points.
Young hit a 3-pointer and Hill made a jumper to trim the lead to 103-99 with 1:43 remaining.
Knight's 17-foot jumper then gave the Bucks a six-point lead. Young countered by hitting a 3-pointer with 16 seconds remaining, but the Lakers were unable to foul and Zaza Pachulia's layup made it 107-102.
Kent Bazemore hit a desperation 3-pointer for the Lakers with 2 seconds remaining, but Sessions was fouled and hit one of two free throws to make the score 108-105 with 0.6 seconds remaining. Young was unable to get off a final shot.
The Lakers played without Pau Gasol, who was out with vertigo for the second straight game, and Steve Nash, who has missed 18 of the team's last 19 games with nerve irritation.
Notes: The Bucks announced Thursday that forward Ersan Ilyasova would be sidelined for the remainder of the season with a right ankle and foot injury. ... O.J. Mayo also missed the game for the Bucks as he sprained his ankle in the team's loss to the Los Angeles Clippers on Monday. . Lakers center Chris Kaman arrived at the arena just 30 minutes before the game, but still started and scored 13 points.