Shawn Matthias, Mark Stuart and Blake Wheeler scored for the Jets (20-22-3), who lost 7-4 to the Montreal Canadiens on Wednesday and held a postgame meeting after opening this three-game road trip with their third loss in four games.
"Can we get better performances individually out of people? Yeah," Winnipeg coach Paul Maurice said. "But they didn't quit. They kept competing and fighting to the very end and that means a lot right now."
Connor Hellebuyck allowed three goals on six shots and was pulled 10:41 into the game. Michael Hutchinson made 22 saves in relief.
The Jets got off to a good start when Toby Enstrom's shot-pass deflected off the shin pad of Coyotes defenseman Luke Schenn right to Matthias, who beat Smith at 3:43.
The Coyotes then scored three of their four goals on odd-man rushes.
Perlini, who scored in a 2-1 shootout win against the New York Islanders on Saturday and had a hat trick for the Tucson of the American Hockey League on Tuesday, beat Hellebuyck at 4:49 on Arizona's first shot.
After Holland scored his first goal of the season at 8:26 for a 2-1 lead, McGinn chased Hellebuyck with a redirect at 10:41, and Perlini made it 4-1 at 14:45 by chipping his power-play rebound past Hutchinson.
"Going down to Tucson was a great confidence boost, and I was trying to play the same style up here as I did down there," Perlini said. "We gave up a quick one that kind of woke us up a little bit."
Stuart scored his first goal in 71 games 2:46 into the third period, and Wheeler made it 4-3 on a deflection with 1:30 remaining.