Casey DeSmith made 35 saves for Pittsburgh in place of No. 1 goalie Matt Murray, who is day to day with a concussion. Evgeni Malkin had three assists.
"I thought [DeSmith] was the best player on the ice," Penguins coach Mike Sullivan said. "He made some great saves for us, especially in that third period. He made some real timely saves for us."
The Penguins (2-1-0) allowed 11 goals in their first two games. Sullivan said he thought they made a more concerted effort to defend against the Golden Knights, but he wasn't completely satisfied.
"We're pleased we won and we got the result. I think our team is capable of getting to another level," Sullivan said. "I don't think we have the puck nearly as much as we need to have it in order for us to be at our best. ... I didn't think we had our swagger tonight like I know our team is capable of. That's when we're at our very best.
"That's what we have to get to in order for our team to get to the level we're capable of. But certainly, I think from an effort standpoint tonight, you could see they were trying to do the right things."
Malcolm Subban made 18 saves for Vegas (1-4-0), which has been outscored 19-10 in its first five games and lost three in a row.
"We just have to keep working and stay with it," Golden Knights coach Gerard Gallant said. "We had a lot of good chances again tonight. The puck didn't go in the net until late in the game. So (we) have to stay with it and work hard. Sooner or later, it'll turn for us."