Mackenzie MacEachern, Jaden Schwartz and Robert Thomas scored, and Jordan Binnington made 27 saves for St. Louis (19-8-6), which had lost three in a row in regulation for the first time since Nov. 17-21, 2018.
"Yeah, we never want to lose games, especially not three in a row," Sundqvist said. "Maybe our first period wasn't really good, but our second period, we really got to our game and that's how we need to play. When we do that, we're really hard to stop. We're creating a ton of chances. We just need to find that game we had in the second period and build off that one."
WATCH: [All Golden Knights vs. Blues highlights]
Max Pacioretty and William Carrier scored, and Marc-Andre Fleury made 25 saves for Vegas (16-13-5), which is 0-4-0 all-time in St. Louis.
"I thought we had two great periods, the first and the third, but the second wasn't obviously nearly good enough," Vegas coach Gerard Gallant said. "Lot of missed chances, but we were loose in the second. That cost [us] the hockey game.
"It was a good hockey game, two good hockey teams playing against each other, and when you give up three in the second like that … we turned the puck over, we gave them odd-man rushes and you're not going to beat a team like that."