Durant made the go-ahead jumper with 16 seconds left in his 27th consecutive game with at least 25 points.
McGrady scored 26 points in his first game since the Knicks acquired him Thursday at the trade deadline, but he was on the bench for almost all of overtime, perhaps exhausted after playing 32 minutes in his first action since December.
Russell Westbrook finished with 31 points, 10 assists and nine rebounds in the longest winning streak for the Thunder franchise since a nine-game run early in the 2004-05 season. Jeff Green had 16 points and 11 rebounds in the victory.
David Lee had 30 points and 10 rebounds for the Knicks, who blew a six-point lead late in regulation and lost their sixth straight. Eddie House, also acquired at the trade deadline, scored a season-high 22 points.
McGrady had his first 25-point game since Jan. 9, 2009, when he had 26 for Houston at Oklahoma City, about a month before season-ending microfracture surgery.
McGrady was sitting and the Knicks trailed by five with about eight minutes remaining when a loud "We want T-Mac!" chant broke out. He returned about 1 1/2 minutes later and helped the Knicks build a six-point lead, but missed two costly free throws with 1:05 left.
A 3-pointer by Green and a layup by Westbrook cut it to 103-102 with 26 seconds to play. House made two free throws, but Durant buried a three to knot it at 105 with six seconds remaining. Danilo Gallinari was short on a potential game-winning 3-pointer, which sent the game into overtime.
New York had its final lead of the extra period after House's jumper with 30 seconds left before Durant's jumper made it 119-118. Wilson Chandler was short on a drive, Durant sank two free throws, and House and Gallinari were short on 3-pointers that could have forced another OT.
The Knicks acquired McGrady on Thursday in a three-team deal with Houston and Sacramento. House came in a trade that sent popular backup guard Nate Robinson to Boston.
Though the primary benefit of the three-team trade was salary cap positioning for the summer, the Knicks are anxious to see what McGrady has left in the final 29 games and if he's an option for next season — especially if he was serious Friday when he said he would be willing to take a significant pay cut from this season's $22.5 million salary if the Knicks can sign a couple of marquee free agents from a class that could be led by LeBron James and Dwyane Wade.
Notes
The Thunder have won the last three meetings. …The Knicks will celebrate the 40th anniversary of their 1969-70 NBA championship team on Monday night against Milwaukee.