"It's fun; everybody's involved and we're moving the ball, finding the open man, so it's just a different vibe when we play like that," Anderson said. "Jrue's playing really, really well. He helps me and I think we just have good chemistry coming off the bench."
Westbrook scored 44 points and Kevin Durant 32 for Oklahoma City, which trailed by 12 with a little more than 3 minutes left but got within two on Durant's 3 with 13 seconds left.
Holiday, who also had nine assists, made a pair of clutch free throws shortly after for the final margin.
Norris Cole scored 21 points and Dante Cunningham added 10 in a starting role for New Orleans, hitting both 3-pointers he took. The Pelicans were 12 of 20 from 3-point range, while Oklahoma City was 8 of 19.
"They did whatever they wanted and we didn't show any resistance," Durant said. "They got confidence. ... We didn't help (defensively) as much as we should have and that caused us to be in scramble mode."
Davis's soaring block on Westbrook came with 3:28 to go and Anderson's 3 seconds later made it 117-105. The Thunder quickly trimmed its deficit on Westbrook's driving layup and 3, followed by Durant's layup, which made it 119-116 with 1:14 to go.
New Orleans went to Davis on its next possession. He was fouled in the lane and sank two free throws. Davis then rebounded Westbrook's miss and Durant lost a rebound of Holiday's miss out of bounds, allowing New Orleans to run the clock down to 18 seconds left before the Thunder got the ball back, still trailing by five.
Davis has scored 30 or more twice in the last five days, including 59 points in a victory at Detroit last Sunday. His play is giving New Orleans, which has won five of seven, faint hope of climbing back into contention for the final playoff spot in the Western Conference.
"He's playing great basketball," Pelicans coach Alvin Gentry said. "The unfortunate thing for him is that ... we're not winning enough games that people are talking about it."
Thunder coach Billy Donovan had no issue with his team's 54.7 percent shooting, or its point total approaching 120. He could even live with the Pelicans' 25 points off of 14 Thunder turnovers.
"It's just our defense and the numbers we gave up on that end of the floor," Donovan said, contrasting his team's effort from a victory in Dallas on Wednesday night. "Coming out to start the first quarter, that was the tell-tale sign for us when we gave up (35 points). ... We just didn't come out and play at the same level defensively."
Thunder: Serge Ibaka scored 15 points and had two blocks, including one on 7-footer Alexis Ajinca near the basket. ... Durant scored 20 or more points for a 43rd straight game. ... Oklahoma City had won the previous two meetings with New Orleans. They do not meet again this season.
Pelicans: Shortly before the game, the Pelicans announced that rookie guard Bryce Dejean-Jones, who'd been a fill-in starter much of the past month, was diagnosed with a fractured right wrist earlier in the day and was scheduled for surgery on Friday. Because he was out, injury-plagued New Orleans opened the game with its 26th different starting lineup this season, with Cole at point guard, Alonzo Gee at shooting guard, Cunningham at small forward, Davis at power forward and Ajinca at center.
Thunder: Host Golden State on Saturday night.
Pelicans: Host Minnesota on Saturday night.