Golden State was up 81-76 with two minutes play, but didn't score again and a three-pointer from Belinelli and a layup from Greivis Vasquez preceded the Italian's game-winner.
Belinelli finished with a game-high 23 points and Carl Landry added 14 for the Hornets, who will close their season in Houston on Thursday.
Klay Thompson scored 16 to pace Golden State, which has lost nine of its last 10 games and will wrap up the season against San Antonio on Thursday.
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