The Spurs have now suffered back-to-back defeats in the seven-game series, despite beginning their postseason campaign with a thrilling double-time victory against Oklahoma.
Wembanyama starred during that match, scoring a whopping 40 points, and the 22-year-old continued his fine form on Friday, amassing a team-high score of 26 points in a 39-minute spell on the court.
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It was the first time since Tim Duncan in 2007 that a Spurs player has made 20 points or more in three consecutive matches. But, despite his brilliance, Thunder came from behind to snatch a 15-point lead at the Frost Bank Center.
"It's my first playoffs. It was the first playoffs for many of us," Wembanyama said. "Of course, there were going to be hard trials. It is to be expected. But now, we're going to see what we're made of."
Despite making eight baskets during the match, Wembanyama was critical of his own performance, saying he let his team-mates down.
"I have trouble making my team-mates better right now," Wembanyama said. "I should do better. My shooting splits aren't terrible. I need to be more of a team player."
Asked what he meant by that, Wembanyama replied: "Facilitate better, rebound the ball better.
"Push their defense a little bit more, to fight further and see how much they're willing to help off of my team-mates and feed them.
"I feel like each and every one of us has got to be better.
"As a team, as an organisation, there's a lot of new experiences. We're just going to have to find the answers."
Spurs' lack of depth off the bench exposed once again
The Spurs surged to a 15-0 lead inside the opening three minutes of the match, the highest lead a team has taken at the start of a NBA Playoffs match since 1997.
But the Thunder bounced back, scoring 76 points off the bench, with Jaylin Williams coming onto the court to make two long-range baskets and a free throw to push the Spurs to within five points of the hosts at the end of the first quarter.
Shai Gilgeous-Alexander was the standout for Oklahoma City, amassing 26 points and 12 assists, as Jared McCain also starred with 24 points of his own to leave the Spurs stunned.
The Spurs tapered off as the match progressed, and questions are being asked about Mitch Johnson's side's depth off the bench.
Oklahoma's bench outscored San Antonio's by 107-28 in the first two games.
"I feel like each and every one of us has got to be better," Wembanyama said when asked about the Spurs' issues with rotation.
"It's just that as a team, as an organisation, there's a lot of new experiences. We're just going to have to find the answers.
"Of course, there are going to be hard trials. That's to be expected. But now, we're going to see what we're made of."
Oklahoma's victory came as Josh Hart scored a career-high 26 points to lead the New York Knicks to victory against the Cleveland Cavaliers on Friday, with the Knicks now needing only two more victories to secure their spot in their first NBA Finals series since 1999.
The victors of the Western Conference Finals will go on to face either the Cleveland Cavaliers or the New York Knicks in the NBA Finals.
Watch the NBA Playoffs live on Sky Sports, with the Spurs' fourth match against the Thunder set to take place live on Sky Sports Main Event at 12.30am on Monday. Not got Sky? Get Sky Sports or stream with NOW - no contract, cancel anytime
