The Golden Knights improved to 4-1-0 on the season.
William Karlsson and Jonathan Marchessault each had a goal and an assist.
Chandler Stephenson also scored for the Golden Knights.
Adin Hill made 26 saves to pick up the win for Vegas.
Pierre-Luc Dubois and Neal Pionk scored for Winnipeg, who closed out a three-game road trip with a loss.
Pionk scored for the third time in his last two games.
David Rittich made 27 saves for the Jets in his season debut.
Winnipeg dropped to 2-2-0 on the season.
SHOTS-WINNIPEG 28 VEGAS 32
NOTES-The Jets return home to face the Toronto Maple Leafs on Saturday in their only visit to Winnipeg this season.
Jets Head Coach Rick Bowness is expected to make his regular season debut in that game.
Associate Coach Scott Arniel said the Jets will speak about injured forward Nikolaj Ehler's status on Saturday.
Mason Appleton took out Nathan Mackinnon along the boards with a stiff check in the Jets zone which sprung Pionk who skated into the Avalanche zone before he unleashed a slap shot which beat Avs goaltender Alexandar Georgiev just inside the left post.
The goal was his second of the night and gave the Jets their second win of the season.
Sam Gagner also scored for Winnipeg, who moved to 2-1-0 on the season.
Cole Perfetti added a goal and an assist for Winnipeg, who moved to 2-1-0 on the season.
Connor Hellebuyck made 30 saves for the Jets.
Mikko Rantanen had two goals and an assist for the Avalanche.
Valeri Nichushkin scored for the fourth straight game to start the season.
Alexandar Georgiev turned aside 24 shots for Colorado, who dropped to 2-2-0.
Sam Gagner scored on a first period power play just under seven minutes into the contest to give the Jets a 1-0 lead.
Pionk scored his first of the night at 13:21, one timing a Mason Appleton feed past Georgiev to extend the lead to 2-0.
Mikko Rantanen got Colorado on the board when he tapped in a Nathan Mackinnon cross crease feed 2:14 into the second period.
Cole Perfetti made it 3-1 Winnipeg at 9:44 when he converted a Blake Wheeler feed.
Rantanen's second goal of the night at 16:26 brought the Avalanche to within a goal before Nichushkin tied it with a power play marker at 18:27.
There was no scoring in the third period.
Winnipeg faces the Vegas Golden Knights tomorrow while Colorado hosts Seattle on Friday.
SHOTS-WINNIPEG 28 COLORADO 33
Gagner, who was signed by the Jets late in the off season was expected to provide veteran savvy to the team's fourth line.
It paid dividends on this night as Gagner's first goal as a Winnipeg Jet started a three goal outburst in just over a four minute span.
Mark Scheifele scored twice for the Jets on the night.
Kyle Connor also scored for Winnipeg.
Nikolaj Ehlers had two assists.
Connor Hellebuyck made 40 saves for the Jets, who opened their regular season with a win.
Jaroslav Halak turned aside 30 shots for New York, who were playing their third game in four nights.
Artemi Panarin broke in alone on Hellebuyck after leaving the penalty box 9:09 into the game but was stymied by the Winnipeg goaltender who calmly made a blocker save.
Mark Scheifele opened the scoring just over a minute later when Nikolaj Ehlers beat Rangers forward Ryan Carpenter to a loose puck along the end boards before getting the disc to a wide open Kyle Connor who simply redirected it through his legs and right to Mark Scheifele who made no mistake, slinging a wrister past Halak, beating him low just inside the right post to make it 1-0 Jets at 10:29.
The goal was his first of the season.
There was no scoring in the second period.
Jordan Hunt scored just under four minutes into the third after Vincent Trocheck's centering pass went off of Jets defenceman () skate and right to Hunt who snapped a high shot off the center bar inside the Winnipeg goal to knot the contest at 1.
The goal was his 1st of the season.
Sam Gagner scored at 15:35 of the third after a goal mouth scramble, shovelling a loose puck sitting in the crease past Halak to give Winnipeg a 2-1 lead.
The goal was his first as a Jet.
Mark Scheifele scored at 18:23 of the 3rd, converting a Pierre-Luc Dubois feed past Halak to make it 3-1 Jets.
The goal was his second of the season.
Kyle Connor added an empty netter with 20 seconds left in the third to seal the win for the Jets.
Both teams return to action on Monday as New York hosts Anaheim while Winnipeg kicks off a three-game road trip against Dallas.
SHOTS-NEW YORK 41 WINNIPEG 34
NOTES-The Rangers finished the game with 11 forwards afteer Ryan Carpenter left the game in the second period after being cut with a skate blade.
Jets Head Coach Rick Bowness tested postive for COVID and was not behind the bench. Associate Coach Scott Arniel took over. Bowness isn't expected back until next week.
Bowness, 67, was hired after the NHL club unsuccessfully pursued Barry Trotz following his dismissal from the New York Islanders earlier this spring.
He has been signed to a two-year deal with an option for a third year.
"Listen, if I am in [Cheveldayoff's] chair, I am going after Trotzy too," said Bowness. "Trotzy is the perfect guy for this. I get that. With his resume I would have done the same thing Chevy did. I got a nice text from Trotzy a couple days ago. It didn't work out and that's fine. So do I feel bad about second choice? Absolutely not. I would've done the same thing."
After sporting a 89-62-25 record coaching the Dallas Stars over the past three seasons, including an appearance in the Stanley Cup Finals in 2020, the Jets felt they have a winner in Bowness.
"You don't take a team to the Stanley Cup just by luck," said Jets GM Kevin Cheveldayoff.
"We're going to get this team back in the playoffs," he added.
Bowness spoke with some players over the weekend, including Mark Scheifele, who clearly stated his frustration with the club's lack of success during the final media availablity earlier this spring.
“I just have to know where this team is going and what the direction is and what the changes are going to be, if any. I have to think about my career and what’s going to be best for me. Those are going to be…talks with my agents and everyone in my family and stuff like that and figure out what I really want. So, it will be a tough talk tomorrow," said Scheifele at that time.
Bowness has a reputation for being a clear communicator and excellent defensive coach.
"All you have to do is look at the last two Stanley Cup deciding games," said Bowness. "1-0, 2-1 and that's how you win in the playoffs. So if you're talking to an offensive guy, if he wants to win he buys in. It's as simple as that."
"And if he doesn't buy in then you're taking away his ice time and you're taking away his ability to get all those points because the team has to come first."