With Jets defenceman Neal Pionk off for high sticking Golden Knights winger Phil Kessel, the Vegas power play went to work, moving the puck around before Danill Miromanov found an open Marchessault, who beat Hellebuyck with a high slap shot to give the Golden Knights their 13th road win of the season.
Marchessault and Mark Stone each had two goals for Vegas.
Danill Miromanov had a goal and two assists.
William Karlsson had a goal for Vegas.
Chandler Stephenson had two assists.
Adin Hill turned aside 29 shots for the Golden Knights, who moved to 21-9-1.
Mark Scheifele had three goals for Winnipeg.
Morgan Barron and Sam Gagner also scored for the Jets.
Connor Hellebuyck made 27 saves for Winnipeg, who dropped to 18-9-1.
Mark Scheifele got Winnipeg on the board at 9:22 when he deflected a point shot from Josh Morrissey past Adin Hill as he was falling to the ice.
Danill Miromanov tied the contest 2:08 later when he took a Reilly Smith feed before moving into the top of the faceoff circle and beat Hellebuyck with a low wrister at 11:30.
The goal was the first of his NHL career.
Vegas nearly took the lead with 6:22 remaining in the first when Smith broke in alone but Hellebuyck stymied the Golden Knights forward.
Mark Stone scored with 30 seconds left in the first when he outhustled Jets forward Adam Lowry to a rebound off a point shot from Nicolas Hague and fired the puck past Hellebuyck with two seconds remaining in the first.
Morgan Barron tied the contest 11:16 into the second when he tracked down a rebound off a Dylan Samberg shot and knocked a backhand past Hill to make it 2-2.
Mark Stone gave Vegas the lead at 15:34 off a turnover when Jets defenceman coughed up the puck at the blue line resulting in a two-on-one with Taylor Stevenson.
Stevenson slid Stone the puck which he fired past a sprawling Hellebuyck to make it 3-2 Golden Knights.
The goal was his 12th of the season.
The lead was short lived as Sam Gagner tied it up 39 seconds later when he redirected a Brendan Dillon point shot past Hill to make it 3-3 at 16:13.
The goal was his 4th of the season.
With Alec Martinez off for slashing the Jets took full advantage when Mark Scheifele one timed a cross ice Kyle Connor feed past Hill 41 seconds into the third period to give Winnipeg a 4-3 lead.
The goal was his 17th of the season.
Jonathan Marchessault tied the game on the power play 9:38 into the third when he took a Danill Miromanov feed high along the side boards before curling in and unleashing a wrister which beat Hellebuyck glove side to make it 4-4.
The goal was his 13th of the season.
Winnipeg had a power play with 7:51 left in the third when Ben Hutton went off for high sticking Jansen Harkins but they failed to score.
William Karlsson scored an empty netter with 1:14 left in regulation to clinch the win for Vegas.
Mark Scheifele scored with a second remaining in the third period to make it 6-5.
The goal was his 18th of the season.
SHOTS-VEGAS 33 WINNIPEG 34
ATTENDANCE-
