After losing the first two games at home, the Oilers appeared on their way to a victory in Game 3.
McDavid and linemate Leon Draisaitl, the top two scorers in the NHL this season, combined for two goals by Draisaitl in the first period.
After being blanked in Games 1 and 2, each player had three points by the end of the second period of Game 3. McDavid, who won the Art Ross Trophy as the NHL scoring leader for the third time with 105 points (33 goals, 72 assists) in 56 games, had three assists. Draisaitl, who scored 84 points (31 goals, 53 assists) in 56 games, had two goals and an assist.
Jujhar Khaira's deflection goal made it 4-1 for the Oilers 4:43 into the third period.
But the Jets rallied with a power-play goal by Mathieu Perreault at 11:41, a rebound goal by Blake Wheeler at 14:28, and a wrist shot by Josh Morrissey at 14:44 to send the game to overtime.
After missing the first two games because of an upper-body injury, Nikolaj Ehlers scored his second goal of the game at 9:13 of overtime to give the Jets the win and a commanding lead in the series.
"Four goals in a playoff game should be enough to win the game," Draisaitl said. "That's not an issue to score goals. We know how to do it. We've done it all year. It's on the other side of the puck we obviously have to figure it out."
RELATED: [Complete Oilers vs. Jets series coverage]
Tippett said he saw plenty of good things from Edmonton in building a 4-1 lead. The Oilers were winning battles frequently. They were pressuring the Jets into mistakes, and they were getting a lot of looks at Jets goalie Connor Hellebuyck. Edmonton outshot Winnipeg 48-37.
But mistakes and penalties got into the mix in Game 3.
"When you look at it, winning is hard and there's painful lessons that you need to learn to win," Tippett said. "I'll be worried if we don't take the lessons we should learn tonight and use them accordingly. We did enough good things in this game tonight to win. We gave a game away, now let's see how we respond."
Forward Ryan Nugent-Hopkins said Edmonton knows how to win four games in a row, having done it twice this season. The Oilers had a five-game winning streak Feb. 17-25 and a four-game winning streak March 6-12.
"It's not like we haven't done it," Nugent-Hopkins said. "We put ourselves in a tough spot, obviously. Especially the first half of the game, especially the first period, that's how we're going to have success. That's how we're going to win the first one. I mean, that's the bottom line. We've got to find a way to win the first one and get some confidence and get going."
