Giannis Antetokounmpo has backed team-mate Jrue Holiday to step up when his side needs it after a sub-par performance in the Milwaukee Bucks' NBA Finals Game 2 loss on Thursday.

Holiday has been a key part of the Bucks' success this season but shot 17 points at 33.3 per cent from the field, making only one from three beyond the arc in the 118-108 loss to the Phoenix Suns.

Khris Middleton also battled, making 11 points at 31.3 per cent from the field, while he only hit one from six three-point attempts.

The Bucks are now facing a 2-0 deficit in the NBA Finals, with only four sides in league history lifting the title from that position.

"[I'll] keep talking to him, keep telling him to be aggressive," Antetokounmpo said at the post-game news conference. "It's not about me, it's not about him, it's not about Khris [Middleton], it's not about coach, it's about all of us.

"If there's a game where you're three from 12 or whatever, if you can rebound, or get a steal or do something to help the team win, that's what it's all about.

"I don’t worry at all about him. He's going to be there when we need him the most.

"He's a great basketball player. He's played great all year and he's going to continue to play great for this team."

Holiday has averaged 17.2 points, 5.6 rebounds and 8.4 assists per game this playoffs but his shooting let him down in Game 2 under pressure from the Suns defense.

Antetokounmpo stepped up, scoring 42 points for Milwaukee, along with 12 rebounds, four assists and three blocks.

The Greek forward's 20-point third-quarter effort was the best in the NBA Finals since Michael Jordan scored 22 against the Suns in 1993.

Antetokounmpo's output was also the first 40-plus point and 10-plus rebound game in Bucks' NBA Finals history.

The 26-year-old, who hyper-extended his left knee in the Conference Finals against the Atlanta Hawks, went down late in the match, limping to the bench. He returned to the court and insisted it was nothing to worry about ahead of Game 3 in Milwaukee on Saturday.

"It's just cramp," he said. "I didn’t think it was connected to my knee."

Antetokounmpo also insisted the knee injury was not concerning him during games, after missing the final two games of the Hawks series.

"When I'm not out there, it's not about testing it more, if I'm out there, I'm trying to play and help my team win in any way possible," he said.

"When you start thinking about your knee, or toe or pinky, or whatever, you're making excuses in your mind. You're out there, just play the game, do whatever you can, leave it on the floor."