Nikolaj Ehlers also scored for the Jets.
Connor Hellebuyck made 29 saves for Winnipeg, who moved to 40-29-3, good for 83 points.
The win moved them five points up on 9th place Nashville with 78 and 6 points up on the Calgary Flames with 79 for the final Western Conference playoff berth.
Barrett Hayton scored the lone goal for the Coyotes on the night.
Karel Vejmelka turned aside 23 shots for Arizona, who dropped to 27-33-11.
Nikolaj Ehlers scored 4:19 into the contest when he snagged a loose puck off Christian Fischer's stick at the blue line before going in alone on Vejmelka and lifting his own rebound past him to make it 1-0 Jets.
The goal was his 9th of the season.
Adam Lowry made it 2-0 with a shorthanded marker at 11:43.
With Dylan DeMelo off for slashing, Morgan Barron and Adam Lowry broke in on a 2-on-1 when Barron hit Lowry with a saucer pass which he one timed past a sprawling Vejmelka.
The goal was his 10th of the season.
Barrett Hayton cut the lead in half at 11:46 of the second when he lifted a backhand past Hellebuyck off of a Clayton Keller shot to make it 2-1.
The goal was his 15th of the season.
There was no scoring in the third period.
SHOTS-ARIZONA 30 WINNIPEG 25
NOTES-Jets forward Nino Niederreiter skated in his 800th NHL career game.