Lawson Crouse opened the scoring just over 12 minutes in, recovering a loose puck in the neutral zone before entering Edmonton territory and beating Mike Smith with a slap shot from just above the left face-off circle.
Michael Bunting doubled the Coyotes' lead, giving Arizona a 2-0 advantage early in the second period when he intercepted an Edmonton clearing attempt in front of the Oilers' net and turned to score from the top of the crease.
Ryan Nugent-Hopkins cut the Coyotes' lead in half with a shorthanded tally prior to the midway mark of the second.
With just under 10 minutes remaining in regulation, a Michael Grabner redirection gave the Coyotes a 3-1 lead.
Riley Sheahan responded for the Oilers just 30 seconds after Grabner's goal, cutting the Coyotes' lead back to one.
Arizona once again reclaimed a two-goal lead on what would prove to be the final tally of the evening when Derek Stepan finished off a crisp offensive zone sequence to bury a shot from the right side in close.
Stepan's goal gave the Coyotes a 4-2 lead with 7:17 to play, the night's eventual final score.
Adin Hill stopped a total of 38 shots to earn the win.
!
Kyle Capobianco made his preseason debut playing alongside Niklas Hjalmarsson, logging 19:54 minutes of ice time and registering one assist.
For the second consecutive game, Oliver Ekman-Larsson led the Coyotes in minutes played with 24:37. His secondary assist on Grabner's game-winning goal gives him three helpers in two preseason games played.
The Coyotes continue their preseason slate Thursday night in Vancouver, where they'll take on the Canucks at Rogers Arena in a game scheduled for a 7:00 p.m. start. NHL Network will carry the live television broadcast.
