Chandler Stephenson had two assists, and Logan Thompson made 21 saves for Vegas (23-11-1), which lost its previous three home games.
"Going into the third again, we had some opportunities to score where we didn't finish on. We didn't allow that to change the way we play," Golden Knights coach Bruce Cassidy said. "We scored some goals going to the net. We had two deflection goals, which is good, which means pucks to the net. Obviously, a nice play on the shortie. … Different types of goals. Good for the guys for sticking with it and not losing their discipline."
Christian Fischer had a goal and an assist, and Karel Vejmelka made 29 saves for Arizona (10-16-5), which has lost 10 of 13 (3-7-3).
"Stupidity, mistakes, turnovers, lack of effort on the backcheck. That's too bad because we played a good game," Coyotes coach Andre Tourigny said. "We did a lot of good things against a really good team. We're right there. We're on goal, one shot away, and you could not stay with it."
Daniil Miromanov gave Vegas a 1-0 lead at 3:27 of the second period with a power-play goal from above the face-off circles that deflected off Arizona forward Lawson Crouse.
"He started shooting a little more tonight. Then it translates on the power play," Cassidy said. "We want him to shoot on the power play if it's the open shot. That's his decision. … When it's your turn to shoot, shoot. He has an NHL shot. He has NHL puck skills."