Kelly Oubre, Jr. scored a career-high 19 points for the Wizards, who have won three of four.
Giannis Antetokounmpo led Milwaukee with 28 points and 13 rebounds. His two free throws gave the Bucks a 100-95 lead with 4:28 left, but the Wizards rallied while the Bucks went cold.
Wall's driving layup gave the Wizards a 101-100 lead with 3:03 left. Oubre then got a steal and his dunk at the other end made it 103-100.
Bradley Beal's driving layup pushed the lead to 105-100 and Wall soon added a free throw.
Mirza Teletovic's 3-pointer with 5.9 seconds left pulled the Bucks to 108-105, but Beal hit two free throws to seal the win. Teletovic finished with 25 points on 8-for-12 shooting.