OKC's first playoff berth since 2020, when they lost to the Rockets in the first round.
Following a Thunder timeout, Josh Giddey passed the ball to Gilgeous-Alexander, who dribbled once to shake Miles McBride before turning and shooting from deep in the left corner.
After a Knicks timeout, Donte DiVincenzo passed to Gilgeous-Alexander-covered Jalen Brunson.
Oklahoma City won for the sixth time in eight games thanks to Giddey's triple-double (16 points, 13 rebounds, 12 assists) and Jalen Williams' 33 points.
Houston lost to Dallas as Luka Doncic scored 47 points and matched his career high with nine 3-pointers.
Doncic recorded 12 rebounds and seven assists for the Mavericks, who led by 29 and ended the Rockets' 11-game winning run.
Bari Smith Jr. led Houston with 28 points and matched his career high with five 3-pointers. The Rockets lost their second game in 15 March contests.
Cleveland lost at host Denver after Nikola Jokic scored 26 points, 18 rebounds, and 16 assists and Kentavious Caldwell-Pope scored 22 points for the season.