Connor finished off a 3-on-1 rush after two Coyotes crashed into the end boards and the Jets took full advantage as Scheifele took his time to settle the puck before dropping it for Morrissey who hit Connor with a cross ice feed which he drilled past Ingram to give the Jets the win.
Connor finished with two goals on the night.
Mark Scheifele paced the Jets attack with a goal and three assists, Gabriel Valardi chipped in a goal and an assist The win was Winnipeg's third in a row.
The Jets have won six of their last seven games and pulled to within two points of the Central division leading Dallas Stars.
Josh Morrissey had three assists.
Connor Hellebuyck made 29 saves for Winnipeg, who moved to 36-15-5.
Nick Schmaltz had a pair of goals for Arizona.
Matias Maccelli also scored for the Coyotes.
Connor Ingram turned aside 28 shots for Arizona, who dropped their 11th straight game (23-30-4). The Jets got on the board first before firing a pair of power play goals to take control of the contest.
Mark Scheifele opened the scoring just over the two minute mark when he raced in to collect Josh Morrissey shoot in off the end boards before sliding a backhand past Connor Ingram to make it 1-0 Jets.
The goal was his 17th of the season.
Nick Schmaltz tied the contest at 13:45 on the power play he found himself alone in front of the net after a sharp angle shot by Dylan Guenther and flipped the puck into a wide open net.
Kyle Connor gave Winnipeg the lead on the power play at 14:45 as Gabriel Vilardi found him along in the right faceoff dot and slid him the puck from the side of the Arizona net.
Connor snapped the disc past past Ingram, beating him low just inside the right post to make it 2-1 Jets.
The goal was his 22nd of the season.
Gabriel Valardi gave Winnipeg a two-goal cushion on the power play at 16:34.
With Dylan Guenther off for interference, Mark Scheifele hit Valardi with a pass just outside the goal crease which he slid past Ingram to make it 3-1.
The goal was his 16th of the season.
Matias Maccelli redirected a Juuso Valimaki shot from the side boards past Hellebuyck to pull the Coyotes to within one 6:11 into the second to score his 10th goal of the season.
Nick Schmaltz tied the game 1:04 into the third when he flipped an Alex Kerfoot feed from behind the net past Hellebuyck to make it 3-3.
The goal was his 16th of the season.
The game went to overtime.
Kyle Connor scored 33 seconds into the extra frame to give the Jets a 4-3 win.
Both teams see action on Tuesday as the Coyotes travel to Montreal to face the Canadiens and the Jets host the St. Louis Blues.
SHOTS-ARIZONA 32 WINNIPEG 32
ATTENDANCE-14,324
