Ivan Barbashev's goal 14:19 into the second period proved to be the game winner.
The Golden Knights forward got his stick on a Shea Theodore blast which gave them a lead they would not relinquish.
Brett Howden and William Karlsson had the other Vegas goals.
Chandler Stephenson had a pair of assists for the Golden Knights.
Lauren Brossoit made 24 saves to backstop Vegas to the win.
Blake Wheeler had a goal and an assist for the Jets.
Pierre-Luc Dubois had the other Jet goal.
Neal Pionk had a pair of assists.
Connor Hellebuyck turned aside 26 shots for Winnipeg.
The game took an ugly turn for Winnipeg early on as Mark Scheifele left the game early after injuring himself falling into the end boards after being thwarted on a breakaway.
He attempted a one-timer on his off wing on a power play after receiving a pass but immediately left the game holding his wrist and did not return.
Blake Wheeler gave the Jets a lead just under six minutes into the contest on the power play when he worked a give-and-go with Neal Pionk at the blue line before moving into the right face off dot and unleashing a high wrister, beating Vegas goaltender Laurent Brossoit blocker side.
The goal was his 2nd of the playoffs.
Brett Howden tied the contest at 9:53 after following up on his first shot and burying the rebound, snapping a high shot past Hellebuyck to make it 1-1.
The goal was his 1st of the playoffs.
William Karlsson gave Vegas the lead 13:32 into the second when he redirected a Jonathan Marchessault shot past Hellebuyck with a skate just as a penalty to Pierre-Luc Dubois expired.
Ivan Barbashevg gave the Golden Knights a two-goal cushion 1:13 later when he got his stick on a Shea Theadore blast at 14:19.
The goal was his 1st of the playoffs.
Winnipeg pulled within a goal just under three minutes into the third on the power play when Pierre-Luc Dubois got his stick on an airborne puck which he deflected high in the air and landed in the Vegas net at 2:57.
The play was reviewed but the goal was allowed to stand.
Brett Howden added an empty netter with 16.2 seconds left in regulation to seal the win for the Golden Knights.
Vegas can wrap up the series Thursday night when they host game 5.
SHOTS-VEGAS 30 WINNIPEG 26
ATTENDANCE-15,324
