Khris Middleton, 29, had made a very good match for the home team until the final period.
But then he shifted up.
Milwaukee was down nine points when the period began.
With just over two minutes left to play, Middleton equalized to 99-99, but before anyone else had time to score, the score was 105-99.
Then Phoenix's best scorer Devin Booker ran in between with a second before Middleton made two more and then the match was decided.
Booker scored 42 points and Middleton stayed at 40. Milwaukee star Giannis Antetokounmpo also played a big role with his 26 points and 14 rebounds.
The fifth match in the final series is played in Phoenix during the night until Sunday, Swedish time.