Monta Ellis scored 17 points and Mike Dunleavy had 15 as the Bucks improved to 3-1 under new coach Jim Boylan.
Larry Sanders had 11 points and eight rebounds for the Bucks, who won for the 12th time in 15 meetings with the Raptors.
Amir Johnson had 22 points and 14 rebounds and Ed David had 20 and 12 for the Raptors, who led 32-12 early but lost their fifth straight home meeting with the Bucks.
DeMar DeRozan scored 23 points and Jose Calderon scored 15 of his 21 in Toronto's big first quarter, but the Raptors couldn't hold on, losing for the first time in three games.
Henson's hook shot with 6:54 to go gave Milwaukee its first lead of the fourth quarter at 87-86 and, after a three-second call on Toronto, Larry Sanders followed by tipping in a missed shot from Ellis.
But after Sanders missed a pair of free throws with 4:23 left, Davis answered with a slam dunk, giving Toronto a 91-90 lead.
Jennings restored Milwaukee's lead with two free throws and Sanders blocked DeRozan at the other end, leading to a fast break 3 by Dunleavy, giving the Bucks a 95-91 lead with 3:01 left.
Ellis made a layup, Sanders made two free throws and a dunk and Milwaukee led 101-91 before Fields ended a 2:45
Calderon, who scored 10 first quarter points in Friday's 99-78 win over Charlotte, was hot again to start this one. The Spanish guard hit six of seven field goal attempts in the first, including all three of his 3-point attempts, and poured in 15 points as Toronto opened a 34-16 lead after one.
Calderon left grimacing with four seconds remaining in the first and jogged back to the locker room for treatment on his right calf. With Calderon out, Milwaukee closed the gap with a 12-0 run to start the second quarter.
Calderon returned with 3:39 left in the half but the Bucks kept up the pressure, taking advantage of 10 Toronto turnovers. A fast break layup by Jennings tied at 47-all with 23 seconds left but two free throws by Quincy Acy gave the Raptors a narrow 49-47 edge at the intermission.
Johnson limped off with a sore right ankle with 1:02 left in the second, but both he and Calderon started the third for Toronto. DeRozan scored 10 points as the Raptors reclaimed the advantage and took a 78-74 lead into the fourth.
NOTES: Henson scored a career-high 20 points against San Antonio on Jan. 2. ... Milwaukee's bench outscored Toronto's 43-7. ... This was the first of a four-game road trip for Milwaukee. The three remaining games are at the Los Angeles Lakers, Phoenix and Portland. ... Sanders extended his streak of consecutive games with at least one blocked shot to 23.