Curry was injured while defending rookie Jimmer Fredette just before halftime. Curry didn't play in the second half and finished with seven points and five assists in 15 minutes.
Team officials said Curry would have X-rays on his ankle Wednesday morning.
"I'm disappointed. We need him back quick," Warriors rookie coach Mark Jackson said. "But if not, we still have to go out and execute. It's no excuse. The next player has to look at it as an opportunity. We hope Steph comes back quick because everybody knows we are a better basketball team with him."
Marcus Thornton scored 21 points for Sacramento, including a go-ahead 3-pointer with 27 seconds left.
Thornton, who hit some big shots late last season after being acquired from New Orleans, found the ball in his hands after a missed shot by the Kings. He never hesitated, making a 3 from the corner to put the Kings ahead 92-91. He added two free throws to help seal the victory.
"Time was ticking away, so I caught it and let it go," Thornton said. "It felt good leaving my hand."
J.J. Hickson had 19 points and nine rebounds for the Kings, who scored the final six points. Tyreke Evans scored 15, but committed seven of Sacramento's 27 turnovers. Fredette, who had 21 points in his NBA debut against the Warriors, finished with 12.
Ellis put the Warriors up 91-89 when Evans was called for goaltending on a drive to the basket with 1:15 left. But Thornton responded with five straight points and the Warriors never scored again.
"We made plays down the stretch both on offense and defense to win the game," Kings coach Paul Westphal said. "That's what we need to do as a young team."
A 9-0 run, highlighted by two fast-break layups by Hickson, put the Kings ahead 84-81 with 5:09 to go.
The Warriors scored six consecutive points, the final four by Lee, who converted a fast-break layup to put Golden State up 81-75 with 7:16 left.
After the Warriors trailed by eight at halftime, Ellis scored nine points and Lee had eight in the third quarter to help Golden State take a 67-66 lead into the fourth.
Thornton scored 11 first-half points and Hickson had eight for the Kings, who led 49-41 at halftime. Lee had 14 points and eight rebounds for the Warriors.
In the first preseason meeting between these teams, Curry scored 22 points to lead the Warriors to a 107-96 victory.