Mikko Koskinen made 30 saves for the Oilers (33-23-8), who lost 4-3 in overtime at the Anaheim Ducks on Tuesday.
McDavid did not have a point for the first time in three games after missing the previous six with a quadriceps injury. He has six points (one goal, five assists) since his return.
"They were the better team tonight. I don't think it was just a hot goaltender," McDavid said. "We'll learn from it and move on."
Pacioretty scored with a wrist shot from the right circle at 16:04 of the first period for a 1-0 lead.
Cousins scored on the power play at 5:44 of the third period to make it 2-0. The forward was acquired in a trade with the Montreal Canadiens on Monday for a fourth-round pick in the 2021 NHL Draft.
Cousins did not arrive at the Golden Knights practice facility until after morning skate on Wednesday; he started the game at left wing on the third line before moving to fourth-line center, pushing Tomas Nosek to the third line. Cousins had three shots in 12:09.
"You want to play playoff hockey," Cousins said. "You don't want to go home in April and watch the others play playoff hockey. We've still got 17 games left, and this team is moving in the right direction and playing well lately. If I can contribute in any way I can, I'll be more than happy to do that."
Theodore made it 3-0 at 9:59 with a shot from the point.
Forward Andreas Athanasiou, who was traded to the Oilers by the Detroit Red Wings on Monday, did not play in the third period because of a lower-body injury.
"I don't think it's too serious," Edmonton coach Dave Tippett said. "I'm hoping not anyway. It was too sore to play in the third, so we took him out."
