Knight also hit the key shot, a 17-foot jumper with 16 seconds remaining to give the Bucks a 105-99 lead.
"They did a good job of cutting off a drive to the basket, but I was able to step back and get a good jumper that went down," he said. "It really felt nice to win a game like that."
Khris Middleton added 14 points for the Milwaukee, which won for only the 14th time this season. The Bucks hit 55.7 percent from the field, just the eighth time this season the Bucks have shot better than 50 percent.
"We feel very fortunate that we were able to play well both times that we faced them, but I don’t really sense pride in beating them twice to be honest," Bucks coach Larry Drew said.
Drew said Knight and Sessions really opened the floor for Milwaukee.
"We probably ran more pick-and-roll than any other game we played. But we really were just focused on trying to open up the floor and both guys were getting to the basket and making shots," he said. "They seemed to play well off one another tonight. I played them both heavy minutes but they responded very well."
Bucks rookie Giannis Antetokounmpo was injured midway through the fourth quarter when he stepped on Nick Young’s foot while driving to the basket and hurt his left ankle. He was helped to the locker room and did not return.
Drew said the team would know more about Antetokounmpo’s injury on Friday.
The Lakers had won two straight, including a 127-96 win over the New York Knicks on Tuesday when they scored 51 points in the third quarter.
Jordan Hill had 28 points and 16 rebounds for the Lakers, while Young added 17 points.
Young said the Lakers can’t overlook any team, no matter its record.
"This is the NBA where anyone can win on any night," he said. "You have to give them credit. They were more aggressive than we were at the end and really took it to the basket hard."
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 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.
"I felt like we could get it done, but it didn’t happen," Young said.
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.