Gilgeous-Alexander, who beat out Jokic and Giannis Antetokounmpo in the voting last year and was also named NBA Finals MVP as the Thunder beat Indiana for the trophy, averaged more than 30 points per game this season.
He led Oklahoma City to the Western Conference top seed and the best record in the league at 64-18.
Wembanyama, 22, has been the driving force of San Antonio's first run to the playoffs since 2019, averaging a career-high 25 points per game and a league-best 3.1 blocks.
Jokic averaged a triple-double and became the first player in NBA history to lead the league in both rebounds and assists in the same season. He averaged 27.9 points, 12.8 rebounds and 10.8 assists per game.
Wembanyama also headlines the finalists for Defensive Player of the Year, with Oklahoma City center Chet Holmgren and Ausar Thompson of the Detroit Pistons also on the ballot.
Gilgeous-Alexander is also up for Clutch Player of the Year. He scored 175 points in clutch time, defined as the final five minutes of regulation or overtime when the score is within five points.
Los Angeles Lakers star Luka Doncic and Detroit's Cade Cunningham, who were both ruled eligible for awards races despite not meeting the 65-game minimum, both failed to make the final MVP ballot.
Anthony Edwards, who was ruled out of the MVP race when his request for an "extraordinary circumstances" exemption from the 65-game rule was denied, is nevertheless among the Clutch Player finalists, which isn't covered by the regulation.
The awards, which are voted on by a panel of sports media members, will be announced over the course of the playoffs.