Josh Morrissey had a goal and an assist, and Connor Hellebuyck made 32 saves for the Jets (15-8-2), who have won seven of their past 10 games.
Nathan MacKinnon had a goal and an assist, extending his point streak to 10 games, and Alexandar Georgiev made 24 saves for the Avalanche (16-8-2), who have lost four of five (1-2-2).
Adam Lowry gave Winnipeg a 1-0 lead at 19:57 of the first period when he fired a wrist shot over the blocker of Gerogiev. Devon Toews turned the puck over to Axel Jonsson-Fjallby along the boards, who then fed Lowry while he was streaking down between the circles.
Connor extended the lead to 2-0 just 32 seconds into the second period when he beat Georgiev five-hole from the right circle.
MacKinnon cut it to 2-1 at 2:30. He skated into the offensive zone and around defenseman Dylan Samberg with speed, sliced across the crease, and scored on a backhand.
Morrissey fired a slap shot from just above the left circle that went in far side to make it 3-1 at 15:13.
Joel Kiviranta cut it to 3-2 at 19:29 after MacKinnon set him up for a close-range shot from atop the crease that went off the blocker of Hellebuyck.
Connor scored an empty-net goal with 37 seconds left in the third period for the 4-2 final. It was his 17th goal of the season.
