Elias Lindholm staked the Flames to a 1-0 lead but despite all their quality scoring opportunities, they fell 5-1 to the Jets.
They are now 3-4-1 this season vs. their Canadian cousins.
With the loss, Calgary is 16-18-3 this campaign, while Winnipeg improved to 22-12-2 in the Scotia North Division.
According to analytics website Natural Stat Trick, the Flames had a 19-15 edge in scoring chances, and a 7-6 advantage in high-danger scoring chances at 5-on-5.
Jacob Markstrom got the start, making 19 saves in two periods of work, replaced by David Rittich to start the third.
Connor Hellebuyck was between the pipes at the other end, turning aside 29 of the shots he faced.
Johnny Gaudreau danced around a few Jets to skate deep into the Winnipeg zone right off the hop, getting hooked by Andrew Copp just 33 seconds into the affair.
The Flames poured on the pressure on the powerplay, Gaudreau feeding often partner-in-crime Sean Monahan all alone in the slot, but Hellebuyck made the stop.
With time winding down, Gaudreau took a pass in the neutral zone and led an odd-man rush into the zone, passing cross ice to Matthew Tkachuk, who fed it right back through the blue paint to Lindholm for the tap into an open net with nine seconds left on the advantage.
It was Lindholm's ninth of the year.