The win was the fourth in a row for the Blues (20-8-2, 42 points), who moved into first place in the Central Division, one point ahead of the Chicago Blackhawks (20-9-1, 41 points).
"It's something I've worked on in practice," Oshie said, "just catching it and trying to catch that far side. It didn't get there quick, but it ended up getting there eventually. It was a great pass by [Jackman]. He looked across and waited until I jumped in the hole, and it was perfect timing."
The loss prevented the Avalanche (10-13-7) from matching their longest winning streak, two games, of the season.
"It was a good game," Pickard said. "They're a good team. I thought we were right there all night, maybe they had a little bit more zone time and puck possession, but we had some chances too. It was an unfortunate ending. [Oshie] got it off quick, it was a knuckleball. He placed it pretty well."
Defenseman Erik Johnson scored the Avalanche goals. It was the first two-goal game of his career.
Johnson's second tied the game 2-2 with 1:24 remaining in the second period. Nathan MacKinnon carried the puck into the Blues end and passed across to Johnson, who moved into the right circle and beat goalie Jake Allen (23 saves) to the far side.
"It was fun," Johnson said. "Any time you can contribute it's even more fun. I'd trade those two goals to get a win tonight. It's something to build off of. We can't get too down on ourselves."
The Blues took a 2-1 lead at 8:16 of the second period on a goal by defenseman Alex Pietrangelo, who kept an Avalanche clearing attempt from exiting the zone, then took a rising shot from just inside the Colorado blue line that sailed over Pickard's left shoulder.
The Blues held the Avalanche without a shot on goal for 8:30 in the second period, outshot them 17-6 for the period and 27-12 through 40 minutes.
"When we were up 2-1, we really had opportunities to salt it away and it kind of came back to haunt us," Blues coach Ken Hitchcock said. "We had five or six great chances to really build a big lead. We needed Jake to make a couple of saves in the third period, which was good. We were lamenting after the second period about the missed opportunities and just stayed with it.
"We've won a lot of games late too. Sometimes the law of averages catches up to you, but it hasn't caught up to us yet. This is one that could have gone either way."
Despite being outplayed in the second period, the Avalanche believed they had a chance to win the game because of how well Pickard was playing.
"When you pick up one point, you're disappointed," Colorado coach Patrick Roy said. "After two periods we should have been down. Coming into the dressing room 2-2, it was important for us to take advantage of it, and we had some chances. We just couldn't score the big goal."
Johnson and Blues defenseman Kevin Shattenkirk, who were included in a Feb. 18, 2011, trade between Colorado and St. Louis, exchanged power-play goals in the first period.
Johnson scored at 14:01 with a shot from the left point as Jarome Iginla skated by Allen. The Avalanche went 3-for-30 on power plays in their previous 11 games.
Shattenkirk scored at 15:23 after Pickard made a save and went down during a scramble in front of the crease. He waited near the bottom of the right circle for an opening and shot the puck inside the near post.
"It was tough to stay in that game during the second period," Allen said. "They had a few chances, a few good chances, and then they came out flying and peppered me in the third. I don't know how many shots they had, but I got a good workout in the third and kept it 2-2. The guys played great, one of the best games I've seen in a while."
It was center Paul Stastny's first game against the Avalanche since he left as a free agent to sign a four-year, $28 million contract with the Blues on July 1. He had one shot on goal in 12:43 of ice time and won nine of 13 faceoffs.
"It's weird in general," Stastny said. "There were a lot of emotions. The first period was brutal, but after that, once I kind of forgot about it, I just went out there and played. I felt way better."
Stastny spent his first eight NHL seasons with the Avalanche after playing two years at the University of Denver. There was a smattering of boos from the crowd when he touched the puck.
"I heard the Blues," he said with a laugh. "I think it's just an emotional Saturday night, so it wasn't surprising. A part of you always expects the worst. It was just different. I think after that first period, then I kind of settled in. It was good to get that first game out of the way."