A foul-plagued Kevin Durant led the Thunder with 25, Westbrook added 17.
"This is competition at its highest," Heat head coach Erik Spoelstra said.
"That's what this is about. We showed some resolve there in the second half."
In the leadup to the game, the Thunder insisted a third-straight horrible start was not in the cards. Then the team came out with no fight, no pushback, no intensity and got schooled by the fast-breaking Heat.
James scored 10 points in the first quarter and Wade and Bosh also gave the Thunder the business down low.
Miami had to be so good inside because its outside shooting was definitely not-ready-for-primetime bad.
The Heat shot an incredibly poor 3-for-16 outside of the paint through two quarters.
But OKC's offence kept it in the game and James stopped being aggressive for much of the rest of the game keeping things close.
Durant went off in the third, scoring from all over the court.
Still, the Heat got a boost from OKC's terrible work at the line (15-of-24 for 63% compared to Miami's sizzling 31-for-35, 89%). The Thunder led the NBA in free-throw percentage in the regular season.
So what's happening now?
"We haven't shot well (from the stripe) so hopefully we'll relax and make the shots in the next game," Nick Collison said.
"It's uncharacteristic of us, but it's become a little bit of a trend.
"It's a tough thing to correct."
Having a host of calls go the other way also hurt the Thunder.
The refs called three questionable fouls on Durant early, so when he fouled Wade with 5:41 remaining in the third it was a momentous call considering how hot he had been.
"I had a nice rhythm going on the offensive end, and for it to just stop like that by me going out of the game because of fouls is kind of tough," Durant said.
"You know, I hate sitting on the bench, especially with fouls."
Miami went on a 16-7 run with Durant seething on the bench to erase a sizable Thunder advantage and take a two-point lead into the final quarter.
Things got worse for the visitors in the fourth when, with OKC still hanging around, Durant picked up his fifth after failing to set himself while trying to take a charge on James.
After that, James reasserted himself and was able to score at the basket fairly easily.
Oklahoma City has now dropped two straight after pulling off a Game 1 win it probably didn't deserve.
While some say the team is young and learning, Collison refused to buy into that line of thinking.
"I don't think we can just accept that, we feel like we can play better, we never use our youth as an excuse for not winning games and we're not going to start now," he said.
"We have to change what we're doing. We haven't been good enough the past two games."
We have still yet to see the best out of an excellent Thunder squad.
Though OKC rallied from a series deficit against regular season-leading San Antonio, winning three-of-four against this Heat team will be just as difficult.
Veteran Heat forward Udonis Haslem knows what it takes to win a championship.
He's well aware nothing has been settled yet.
"It's not easy. We've got to continue to work, continue to take hits and continue to hit back," Haslem said.
"Four or five plays can decide the game."
That's something Oklahoma City has found out quickly in its first trip to the final.