With the score tied at 102 heading to the extra period, Hensen's jumper put the Bucks ahead in the opening minute and Ersan Ilyasova layup made it 106-102 with 3:12 to go.
Ariza was fouled and made three free throws with 42.8 seconds left to pull the Wizards within one. Knight answered with a jumper with 21.1 seconds left and added a free throw 12 seconds later to seal the win and avenge Washington's overtime win last week in Milwaukee.
"I think we've given away a lot of wins," Knight said. "We've gifted a lot of teams this year."
Washington (9-10) had won two straight and missed chance to go over the .500 mark for the first time in four years
"Somebody on this team has got to become the leader that doesn't allow these things to happen," Wizards coach Randy Wittman said. "I went into the locker room to talk to them before the game. It was carefree unlike the last two weeks. ... I told our guys when we walked out we could be in a little trouble tonight.
Washington went 0 for 6 from the field in overtime.
The Wizards, who trailed by 13 at halftime, rallied and led by five after Wall's jumper with 43 seconds left in regulation. Middleton's jumper cut the lead to three and, after a miss by Wall, Knight's 3-pointer with 15.1 seconds left tied the score at 102.
"First half we played bad. Second half we had a chance to win it," Wall said. "The last 40 seconds we didn't execute. What we're supposed to do to get stops.
Washington lost Martel Webster to a sprained left ankle at the end of the first quarter and Nene (right knee tendinitis) in the third quarter.
Washington chipped away at Milwaukee's lead in the third quarter as Ariza's 3 made pulled the Wizards to 78-74 heading to the fourth.
The Wizards took an 85-84 lead on a driving dunk by Trevor Booker with 8:21 left and the teams traded the lead for the next several minutes.
Drew called timeout during the first minute shortly after Washington's Marcin Gortat was fouled going to the basket.
"The first defensive play of the game we had a breakdown and that is just not acceptable and I felt it important to burn a timeout to let these guys know that we're going to do it the right way," Drew said. "There can't be those type of breakdowns early in the game. It caught their attention."
Washington forward Otto Porter Jr., the No. 3 overall pick in the June draft, made his NBA debut. Sidelined since September with a hip flexor, the former Georgetown star entered at the start the second quarter and played nearly 13 minutes, going 0 for 3 from the field with two rebounds.
On the night the Wizards gained Porter, they played most of the game without Webster and the stretch run without Nene.
As the first quarter ended, Webster missed a long 3. When he landed, he went to the floor. In obvious pain and holding his left ankle, he had to be assisted to the dressing room. The Wizards announced Webster had a sprained left ankle and he didn't return.
The shot 14 for 21 in the first quarter and built a 42-33 lead early in the second.
Washington closed to 42-40 on a jumper by Nene, but the Bucks went on a 15-1 run, capped by Nate Wolters' baseline drive late in the quarter, and led 56-43 at halftime.
"We came out and played like it's a pickup game in the first half," Wittman said. "That's where we lost the game."
Middleton had 20 of his points on 7-for-11 shooting in the first half.
Milwaukee was without F Caron Butler (sore left knee) and C Zaza Pachulia (sprained right foot). ... C Kevin Seraphin (sore right knee) was out for the Wizards. ... Bucks G-F Giannis Antetokounmpo, the NBA's youngest player, turned 19 Thursday and scored six points. ... Wall and Wittman were whistled for technical fouls in the second quarter.
Copyright by STATS LLC and The Associated Press
WASHINGTON, DC - DECEMBER 6: Otto Porter #22 of the Washington Wizards participates in warm-ups before the game...