Shea Theodore, Braeden Bowman and Tomas Hertl scored, and Jack Eichel had two assists for the Golden Knights (10-4-7), who extended their point streak to six games (3-0-3). Akira Schmid made 29 saves.
Vegas has lost seven of eight games that have gone beyond regulation this season.
"We have to change something because we're losing points in overtime," Hertl said.
Hertl recommended holding onto the puck longer at the start of overtime and tiring out the opposition.
"That's kind of what they did to us, made us tired, and when you can change it will start to open up," he said. "Maybe when we start with the puck we shouldn't force things right away and maybe change a couple times and get them tired and wait for the opening."
Theodore gave the Golden Knights a 1-0 lead at 3:25 of the first period, taking advantage of a screen by Bowman to score on a one-timer from just inside the blue line.
Bowman extended it to 2-0 at 4:37 with a goal in his third straight game. He was in front of the crease when he scored on a loose puck with a backhand, his fourth goal in his sixth NHL game.
"We gave up a couple, I don't want to say casual goals, but they're a good team and you don't give them those opportunities right off the bat," Quenneville said. "We had to make some big saves later in that period and then we got going."
The Ducks then scored two goals 34 seconds apart to tie it 2-2.
LaCombe cut it to 2-1 at 7:43 on a one-timer from above the right circle after Vegas defenseman Noah Hanifin broke up a breakaway by Beckett Sennecke, who was able to retrieve the puck and find LaCombe.
Zellweger tied it 2-2 at 8:17 on the rush when scored into the top right corner of the net with a wrist shot from the left circle.
Hertl’s power-play goal moved Vegas back in front 3-2 at 17:59, scoring on a tip from in front of the crease.
"We were a little loose in some ways, but then again I thought we battled and we did a lot of good things," Quenneville said. "I thought all the lines were contributing, a little more engaged as the game went on."
Terry tied it 3-3 at 13:50 of the second period when he scored off a feed from Leo Carlsson to finish a 2-on-1 rush.
"They're a really good rush team," Golden Knights defenseman Zach Whitecloud said. "That's one of the strong parts of their game is creating off the rush, if you give them time and space coming through the neutral zone, which we did a couple times."