He is the fourth NHL player to have at least six points in a game since Sidney Crosby had two goals and four assists for the Pittsburgh Penguins on Jan. 19, 2010. Edmonton's Sam Gagner had eight points (four goals, four assists) in an 8-4 win against the Chicago Blackhawks on Feb. 2, 2012.
"You have nights where you feel good, and then not so good," McDavid said. "Tonight, I definitely felt good. It's nice to get some early and keep it rolling."
[WATCH: All Avalanche vs. Oilers highlights]
Leon Draisaitl had five assists to extend his point streak to 11 games (nine goals, 16 goals). He leads the NHL with 41 points (15 goals, 26 assists).
"It's fun, it's real fun to play with Leo," McDavid said. "We've been playing together for a long time now. So these nights are fun to do it together."
Video: Enterprise Hat Trick: Connor McDavid
Ryan Nugent-Hopkins scored two goals, and Mike Smith made 31 saves for Edmonton (13-6-2), which went 4-for-6 on the power play and 5-for-5 on the penalty kill in its third win in four games.
"[McDavid] was flying tonight, he had his 'A' game," said Draisaitl, who set an NHL career high for points in a game. "It was a good night for all of us. I know the power plays got the goals, but all four lines played solid and created and it was a good game for us."
Andre Burakovsky scored two goals for Colorado (11-6-2), which lost for the first time in four games. Adam Werner allowed five goals on 18 shots in his first NHL start and was replaced by Antoine Bibeau at 8:32 of the second period. Bibeau made nine saves in his season debut.
"I think their best players had a night tonight, and I didn't think we were very good, not tight enough with our checking, and we just didn't seem to have the drive we needed to win this one," Avalanche coach Jared Bednar said. "Too many penalties for us, and their power play had a night, and their special teams were really good, and ours weren't."
Burakovsky scored 1:20 into the first period to give the Avalanche a 1-0 lead.
Video: COL@EDM: Burakovsky wires home wrister from high slot
Nugent-Hopkins tied the game 1-1 at 6:16, taking a drop pass from McDavid in the slot and scoring on a wrist shot.
McDavid gave the Oilers a 2-1 lead at 12:14 with a wrist shot from the right face-off circle on the power play, and Zack Kassian scored at 12:42 off a pass from Draisaitl to make it 3-1.
McDavid scored from the slot off a pass from Draisaitl on the power play at 15:51 to make it 4-1.
"We had some looks that we couldn't take advantage off," Burakovsky said. "I think overall, we have to be better. We talked about it before the game, that we have to be hard on those top six [guys] on the other team, and I think we showed too much respect or whatever."
McDavid completed the hat trick and made it 5-1 at 8:32 of the second period with a wrist shot from the right circle.
"Our power play is clicking, and when it's clicking, it's going in," Edmonton coach Dave Tippett said. "We capitalized on some chances. Those guys, if they get chances, they capitalize. The power play was good. I thought the first period was probably our best period, just moving the puck, and we were hungry on it, built a lead, and then pushed it right till the end, which was good."
Video: COL@EDM: McDavid completes hat trick in the 2nd
Burakovsky scored at 16:36 to make it 5-2.
Nugent-Hopkins made it 6-2 with a power-play goal off a pass from McDavid at 18:15.
"They were sharp, crisp, moving into the scoring areas," Bednar said. "We made some big mistakes on our penalty kill too."
They said it
"They have some really good, skilled players that make good plays. It's tough to play against those guys, but I think overall we have to do a better job." -- Avalanche forward Andre Burakovsky
"I'm not really surprised [Connor McDavid and Leon Draisaitl] have a lot of points, but it's very impressive. We all know what they're capable of when they get time, and Connor shoots and gets rewarded for it. I really like when Connor takes some shots, and we have multiple options out there." -- Oilers defenseman Oscar Klefbom
Need to know
There have been 242 six-point games in NHL history. ... Since Gagner's eight-point game, Johnny Gaudreau had three goals and three assists for the Calgary Flames on March 12, and Jamie Benn had a goal and five assists for the Dallas Stars on Nov. 14, 2013. ... Darryl Sittler holds the NHL record for points in a game. He had 10 (six goals, four assists) for the Toronto Maple Leafs in an 11-4 win against the Boston Bruins on Feb. 7, 1976. ... McDavid and Draisaitl are the second set of teammates to each have at least five points in a game this season. David Pastrnak had five assists, and Brad Marchand had two goals and three assists for the Bruins in a 7-4 win at the New York Rangers on Oct. 2. ... McDavid is the fourth player in Edmonton history to score two hat tricks in three games, joining Wayne Gretzky (twice in 1981-82, twice in 1983-84), Glenn Anderson (1983-84, 1987-88), and Jari Kurri (1983-84).
Avalanche: At the Vancouver Canucks on Saturday (10 p.m. ET; CBC, SN, SN360, SN1, CITY, ALT, NHL.TV)
Oilers: Host the Dallas Stars on Saturday (4 p.m. ET; SNW, FS-SW, NHL.TV)
Video: McDavid's six points propels Oilers to 6-2 win