Greek star Antetokounmpo scored 32 points and grabbed 14 rebounds to spark the Bucks over the Atlanta Hawks 110-102 while Canadian guard Gilgeous-Alexander netted a game-high 32 points to lead the Thunder over Houston 111-96 in the semi-finals at Las Vegas.
The Bucks and Thunder will meet for the crown on Tuesday in Las Vegas.
"I just wanted to be aggressive through all the ups and downs, highs and lows, and it paid off," said Gilgeous-Alexander. "Hopefully we can do the same thing on Tuesday.
"If we play defense, we give ourselves a chance every night. We just have to play hard, play together and have fun."
NBA scoring leader Antetokounmpo also added nine assists, four blocks and a steal while shooting 10-of-15 from the floor and 12-of-18 from the free-throw line.
"We got stops. That was the most important thing," Antetokounmpo said. "They were feeling comfortable, getting to their spots. We were able to disrupt their offense.
"We were moving the ball, playing team basketball, getting to our spots, knocking down a few shots down the stretch. That's why we were able to get the win."
The Bucks also had 25 points from Damian Lillard and 16 more from Brook Lopez while Trae Young led Atlanta with 35 points, 10 assists and seven rebounds.
"I didn't force it because Giannis was getting downhill early," Lillard said. "I was moving the ball, they were giving me a lot of attention and guys were getting open looks. I knew eventually I'd get opportunities and they would go in, and they did."
The Bucks, who made an unbeaten run to last year's inaugural semi-finals of the in-season tournament before losing to Indiana, were the only team to make a return trip to this year's last four.
"This was a big game. Redeem ourselves for last year against this great Atlanta team," Milwaukee's Khris Middleton said. "It was great. It was a back and forth game but to get a win after a tough tournament and close it out the way we did was great."
They were inspired by Antetokounmpo and his hunger after last year's Cup near-miss.
"Enjoy the game, take it a possession at a time and win the game. That's it," Antetokounmpo said on what he told his teammates. "If we compete, we'll win the game."
After a 2-8 start to the campaign, the Bucks have gone 12-3 since.
"We trust one another. We play together. There's no more hero ball," Antetokounmpo said. "In the beginning of the season we tried to do it by ourselves. It had a bad effect on the team. We figured out we have to compete as a team, move the ball as a team, compete together.
"We've changed our season around but we've got to keep going. The job is not done so far. We've got to keep playing together and hope we get better."
Two Jalen Johnson dunks late in the third quarter gave the Hawks an 83-82 lead entering the fourth.
The game stayed on a knife's edge until Antetokounmpo had six points in a 7-1 Bucks run for a 103-96 lead with 3:13 to play.
Young answered with two free throws and a jumper but Lopez scored to give Milwaukee a 105-100 edge and Lillard's floater from the free-throw line sealed Atlanta's fate.
Thunder down Rockets
Gilgeous-Alexander shot 8-of-21 from the floor, 2-of-6 from 3-point range, sank 14-of-15 free throws and added eight rebounds, six assists and five steals to spark NBA Western Conference leader Oklahoma City over Houston.
"We stayed with our principles," Gilgeous-Alexander said. "We knew we would be able to get enough shots and kick it. We focused on that the whole night to give ourselves a chance and that's what happened."
The Rockets led 42-41 at half time, Houston's defense holding Oklahoma City to its lowest first-half total so far this season.
But Gilgeous-Alexander scored 12 points in the third quarter and the Thunder matched their largest lead to that point at 75-69 entering the fourth quarter and pulled away at the finish.
