Conley missed his first game since Jan. 1 because of a sore right ankle, but Mayo and his fellow reserves picked up the slack with a combined 51 points.
''All of them came in there and did what was working,'' Memphis coach Lionel Hollins said. ''Our bench was superb. What can you say? That was a great team win and we needed it after a disappointing loss last night.''
Marc Gasol added 13 points and 14 rebounds for Memphis, which is in the midst of playing seven games in nine days. The Grizzlies opened the stretch with a 98-89 loss at Houston on Friday.
Brandon Jennings scored 24 points on 9-of-18 shooting for Milwaukee.
Ersan Ilyasova added 18 points and 15 rebounds for the Bucks, who were coming off a 37-point victory at Cleveland on Friday - their largest margin of victory since Feb. 20, 2002.
So not only was it frustrating for Milwaukee to respond this way, but New York also won to drop the Bucks 2 1/2 games behind the Knicks for the eighth and final playoff spot in the Eastern Conference.
''The fact that we come off a big win like that against the Cavs, then tonight we just let one get away from us,'' Jennings said. ''With 14 games left, it seems like we're going to have to have a sense of urgency, which means we have to go into every game and play every 48 minutes like it's our last.''
Mayo and Gay each came up big in the second half to help Memphis win for the third time in four games. Mayo scored 15 points after halftime and Gay, who missed all six of his shot attempts in the first half, had 14.
''We went to (Gay) a lot more (in the second half),'' Hollins said. ''Right off the bat, we decided to go to him and get him involved. . He and O.J. got it going in the fourth quarter as we extended the lead.''
After Gasol slapped the ball out of Drew Gooden's hands as he went up for a shot near the lane, Mayo hit a 3-pointer from the left wing to give Memphis its biggest lead of the game, 93-81, with 3:49 left.
Luc Mbah a Moute stole the ball from Gay, which led to a layup by Jennings to trim the deficit to 95-90 with 57.9 seconds left.
After an airball from Mayo, Tony Allen fouled Ilyasova on a 3-point attempt. He made two of the free throws to trim the margin to 95-92 with 16.5 seconds remaining.
Mayo responded with two free throws for a 97-92 lead with 15.8 seconds to play, but again Memphis committed a silly foul. Gay fouled Ekpe Udoh on another shot from long range, and he made all three free throws to cut the deficit to 97-95 with 12.5 seconds to go.
Mayo clinched the victory with two more free throws for a 99-95 lead with 10.6 seconds to play. He made all 10 of his free-throw attempts in the game.
''He shot the ball and got to the free-throw line, which was huge,'' Hollins said. ''We almost gave it away with turnovers and not smart plays, on defense fouling 3-point shooters.''
Memphis outrebounded Milwaukee, 58-39, including 18 on the offensive end.
''It was a huge factor,'' Milwaukee coach Scott Skiles said. ''It was a big point of emphasis and we just didn't get it done. When we're struggling offensively, that takes away clean rebounds, and outlets, and fast breaks, and hopefully getting some easy baskets. We just weren't able to do it.''
Memphis held a 78-71 lead after three quarters when Mayo hit a 20-foot jumper from the right wing at the buzzer.
Notes: Gilbert Arenas scored four points after sitting out the last three games for Memphis (coach's decision). ... Jennings missed a two-handed dunk on a breakaway, proceeded to get the offensive rebound and then converted a three-point play with 1:02 left in the second quarter. . Milwaukee's Carlos Delfino missed his third game in a row with a groin injury. . Memphis recalled guard Josh Selby from Reno of the D-League earlier in the day. The rookie, who has played in 23 games with the Grizzlies, did not arrive in time.
- Memphis Grizzlies
- Milwaukee Bucks
- Rudy Gay