Harden will be reevaluated Thursday to determine the severity of the injury, but he does not expect to miss significant time.
"It's nothing serious, nothing serious," said Harden, who missed seven games in January of last season due to a Grade 2 hamstring strain. "It's nothing close to last year. Just being cautious."
Harden felt tightness in the hamstring earlier in the game, coach Mike D'Antoni said. Harden exited with 5:19 to play and the Rockets trailing by seven points. He did not return.
The Rockets, who had the NBA's best record at 65-17 last season, fell to 1-3. They lost both games that they played without Chris Paul, who will return from suspension on Friday against the Los Angeles Clippers.
"It's a process," said Harden, who had 29 points, seven assists and seven turnovers in the loss to the Jazz. "Obviously, last year was the same way. We kind of built up to being great. It's going to be the same thing this year."