Paul Stastny won a faceoff back through his legs and Ehlers skated in and wired a wrister past Oilers goaltender, beating him high glove side to give the Jets the their second straight overtime win over the Oilers.
"We had just talked about it before that faceoff," said Ehlers. "I asked him if I should go behind him for a shot and it couldn't have worked out better to be honest."
Ehlers, who missed the past month after a shoulder injury, scored twice for the Jets in his first game back in the lineup.
The Jets now lead the opening round series 3-0 and can elimnate the Oilers Monday in game 4.
Mathieu Perreault and Blake Wheeler scored for Winnipeg.
Josh Morrissey had a goal and an assist for the Jets.
Connor Hellebuyck made 44 saves for Winnipeg.
Leon Draisaitl scored twice and added an assist for the Oilers.
Zack Kassian and Jujhar Khaira also scored for Edmonton.
Connor McDavid had a pair of assists for the Oilers.
Mike Smith turned aside 32 shots for Edmonton.
Leon Draisaitl opened the scoring 6:33 into the first when he snagged a loose puck off a deflected shot from the point and tucked it neatly past Hellebuyck to make it 1-0 Oilers.
Draisaitl made it 2-0 on the power play at 9:10.
With Nate Thompson off for high sticking, Draisaitl converted a Kailer Yamamoto feed, blasting the puck past Hellebuyck.
The goal was his 2nd of the playoffs.
Nikolaj Ehlers got Winnipeg on the board with a power play marker 17:13 into the second when he fired a shot from the top of the left circle and beat Smith high glove side off the post to make it 2-1.
Edmonton reacquired their two-goal cushion just over a minute later when Zack Kassian converted a Leon Draisaitl cross ice feed as he was driving the net beating Hellebuyck just inside the far post to make it 3-1 Edmonton late in the second period.
Jujhar Khaira appeared to give Edmonton a commanding lead 4:43 into the third, redirecting an Adam Larsson shot past Hellebuyck to make it 4-1.
Winnipeg fired 3 third period goals in a 3:33 minute span after falling behind 4-1 to force overtime.
With Josh Archibald off for tripping Mathieu Perreault counted a power play marker chipping a shot in off of Oiler defenceman Ethan Bear's glove to make it 4-2 at 11:41.
Blake Wheeler scored at 14:28, firing a rebound off a Josh Morrissey shot past Smith to pull the Jets to within a goal.
Josh Morrissey beat Smith with a wrister from the high slot 16 seconds later, just over his pad inside the right post at 14:44 to send the game to overtime.
The goal was his first of the playoffs.
Nikolaj Ehlers scored the game winner in overtime.
Game 4 goes Monday night in Winnipeg.
SHOTS-EDMONTON 48 WINNIPEG 37