The win was their second in their last ten games.
The Jets saw their record franchise losing streak reach ten games.
Hertl had a goal and an assist to pace the Golden Knights.
Mark Stone, Brett Howden and Reilly Smith also scored for the Vegas.
Mitch Marner had a pair of assists.
Carter Hart stopped 17 shots for Golden Knights, who moved to 18-11-12.
Cole Perfetti, Luke Schenn, Kyle Connor scored for the Jets.
Connor Hellebuyck made 26 saves for Winnipeg, who dropped to 15-22-4.
Cole Perfetti opened the scoring 5:16 into the opening stanza when he beat Hart with a backhand off a slick feed from Jonathan Toews in the slot.
The goal was his 3rd of the season.
Jets defenceman Haydn Fleury was injured late in the period when Golden Knights forward Keegan Kolesar shoved him midway through the right faceoff circle.
Fleury lost balance and slid heavily into the end boards backwards, folding in half upon impact.
He was stretchered off and did not return.
Jets captain Adam Lowry called Kolesar out on the ensuing faceoff as both parties dropped the gloves with Lowry winning a one sided decision.
Luke Schenn gave the Jets a 2-0 lead 12:04 into the second when he shot a puck through traffic from the blue line.
The goal was his first as a Winnipeg Jet, a span of 42 games and 98 total.
Mark Stone got the Golden Knights on the board with a power play marker late in the second when he converted a Pavel Dorofeyev feed past Hellebuyck.
The goal was his 13th of the season.
Brett Howden tied it 8:13 into the 3rd when he hammered a Noah Hanfin feed past Hellebuyck from close range.
The goal was his 8th of the season.
Kyle Connor gave the Jets the lead at 14:56 of the third when he converted a Gabriel Vilardi centering pass, beating Hart with a 20 foot wrister to make it 3-2.
The lead was short lived as Vegas Reilly Smith tied it just over a minute later at 15:55 when he scored on a pass from Brandon Saad.
The goal was his 6th of the season.
The game went to overtime.
Tomas Hertl scored with 12.8 seconds left in overtime to give Vegas the win, tipping in a Mitch Marner shot from the point.
ATTENDANCE-13,951
