The Jets outshot the Coyotes 46-15 and went 0-for-5 on the power play, including 4 in the third period alone.
The Coyotes won for only the third time in November and moved to 5-15-2.
Connor Hellebuyck stopped 14 shots as the Jets dropped to 10-8-4.
Winnipeg has dropped 6 of their last 7 games.
There was no scoring in the first period.
Antoine Roussel got the Coyotes on the board with just over two minutes left in the second period when he drove hard to the net and poked a Loui Eriksson pass through Hellebuyck's legs to make it 1-0.
The goal was his 3rd of the season.
Winnipeg pushed hard in the third to get the equalizer, getting a back-to-back power plays but were unable to score.
Winnipeg Head Coach Paul Maurice elected to pull his goaltender with 2:21 remaining in regulation, giving the Jets a 6-on-4 advantage.
Arizona visits Minnesota Tuesday while the Jets are idle until Friday when they host the New Jersey Devils.
SHOTS-ARIZONA 15 WINNIPEG 46