Fans didn't even wait until the game started to show how they felt about the coaching change. Paul Maurice got his first cheer during the national anthem when his face showed on the scoreboard.
He took over after Claude Noel was sacked Sunday, ending his 2 1/2 years as the first coach of the Jets following the Thrashers move from Atlanta and name change.
Ekman-Larsson scored the first goal of the game on the power play at 12:16 but the Coyotes didn't have much time to celebrate.
Thanks to four power-play opportunities the Jets outshot Phoenix 12-7 in the first period but both their goals were even strength. Winnipeg's power play is ranked 25th in the NHL.
The Jets kept up the pressure in the second until Wheeler backhanded Mark Scheifele's rebound past Smith to make it 3-1. At the halfway mark of the period the Jets had outshot Phoenix 9-1.
Fans responded with cheers for the intensity the Jets brought to the game instead of the boos that have rained down on the team after some of their more lacklustre recent efforts.
Frolik made it 4-1 at 4:18 of the third when his angled shot beat Smith's glove.
Winnipeg's power play continued to be toothless until midway through the third when Setoguchi dropped to one knee as he slammed one past Smith and Byfuglien picked up his second assist of the night.
Fans gave the Jets a standing ovation after another sustained attack on the Coyotes net in the third period. This was Phoenix's third loss in a row as its slide continues following a 14-4-4 start to the season.
Notes: This was only the third time the new Jets have played the old Jets since the Atlanta Thrashers moved to Winnipeg, but with realignment they face each other twice more this season as part of the Western Conference.