Wembanyama, widely tipped to end Gilgeous-Alexander's two-year Most Valuable Player reign, made just one basket in 13 attempts, an alley-oop dunk to end the third quarter.
He made his presence felt with 13 rebounds and six blocked shots and scored 12 points largely thanks to 10 free throws.
But the Spurs, led by 24 points from Stephon Castle, ultimately had no answer for an OKC outfit "hungry" after their title defence ended in a seven-game loss to San Antonio in last season's Western Conference finals.
Tempers flare
"Obviously this is the team that eliminated us from achieving our goal," Gilgeous-Alexander said. "But for us, I think it was more like we're just happy to be back. It's a longer summer when you don't win, and we felt that this summer."
There was plenty of tension between the young teams tipped to duel for supremacy in the West for years to come.
Spurs guard De'Aaron Fox's was whistled for a flagrant foul after throwing Thunder centre Chet Holmgren to the court early in the second quarter, sparking a shoving match that resulted in multiple technical fouls.
The Spurs made a disciplined start to the third quarter and twice got the deficit to seven in the second half only for the Thunder to pull away again.