Iafallo had a goal and an assist, and Clay Stevenson made 29 saves for the Jets (2-0-1), who also won 3-2 at the Detroit Red Wings on Sunday.
Ben Kindel and Declan Carlile each had a goal and an assist, and Sergei Murashov made 30 saves for the Penguins (2-1-0), who lost for the first time this season and outscored their opponents 13-5 in their first two games.
After a scoreless first period, Kindel put Pittsburgh ahead 1-0 at 9:27 of the second, redirecting a pass from Carlile out of the air at the net front. It was initially waved off due to a high stick, but a review determined Kindel's stick was not above the crossbar.
Iafallo tied it 1-1 at 4:43 of the third period. A rebound off a shot from Isak Rosen went off the stick of Penguins defenseman Erik Karlsson to Iafallo, who tucked a shot inside the right post from below the goal line.
Lowry then gave Winnipeg a 2-1 lead at 7:08 with a backhand on a loose puck in the crease after Iafallo drove to the net.
Carlile, who had two career NHL goals in 46 games with the Tampa Bay Lightning ahead of this season, scored in a second straight game with a shot from the slot off a pass from Kindel to tie it 2-2 at 8:53.
Perfetti put the Jets back on top nine seconds later, giving them a 3-2 lead at 9:02 on a one-timer from the high slot set up by Josh Morrissey. The forward has five points (two goals, three assists) in his first three games.
