A pair of third period goals from Jack Eichel erased a 3-2 Rangers lead and turned it into a 4-3 Rangers defeat.
With the Rangers up a goal and defenseman Adam Clendening in the box for hooking, Eichel broke in and fired a wrist shot that beat Henrik Lundqvist to tie the game, 3-3, at 12:45 of the third.
The 2015 second overall pick struck again just 1:43 later when his attempted pass banked off Mats Zuccarello's skate and by Lundqvist to put the Sabres ahead for good.
It was the first time this season the Rangers lost a game when leading after two periods.
"It does," said Ryan McDonagh when asked whether surrendering the lead in the third added to the team's frustration. "[We] played a team that plays well at home here, a road test for us. Any time you have the lead there, you don't want to give it up. That's uncharacteristic for us. We have to learn from it and make sure we play all the way to the end and make sure we realize we need everyone here at the top of their game and not just the few guys carrying us. We've got to continue to work hard here."
Buffalo opened the scoring just 18 seconds into the contest on a fluky goal. Jake McCabe fired a shot into the Rangers' zone that hit Johan Larsson's skate. The bouncing puck found its way through Lundqvist and into the net for the early 1-0 lead.
"It just froze me," Lundqvist said. "It looked like he was going to pass it. It's a hard shot, but you need to stop it. I need to challenge that more. I was expecting a pass. I was already thinking what's going to happen next. Instead he goes for the shot."
The Rangers' power play would kick start the offense when McDonagh fired a shot from the point that found a lane through traffic and into the net. It was McDonagh's first goal of the season after he had 13 assists in 24 games.
The power play would strike again midway through the second period when Rick Nash swiped home a rebound in front for his fourth goal in six games and 11th overall to put the Rangers ahead 8:15 into the period.
But the lead was short-lived. Buffalo tied the game just 1:33 later on Brian Gionta's fifth goal of the year.
The Rangers had a quick answer of their own when Jesper Fast found Marc Staal pinching in at the left circle. The defenseman fired a wrist shot that beat Anders Nilsson for his second of the season to put New York ahead, 3-2, at 11:42 of the second period.
Lundqvist, who finished the night with 30 saves in the loss, said the game came down to just a misread and a bad bounce, and that puck luck was not on the Rangers' side.
"I felt like for two periods they had a little bit more speed, created more chances, but in the end we had a really good chance of winning this game," Lundqvist said. "We had a really good power play. We set ourselves up for a good opportunity to get the win, but they - you look at the goals there's some fluky ones.
"All of them really, just some weird plays, but I guess that happens when they spent so much time in our end today," Lundqvist added. "You need some puck luck sometimes. We didn't have it today. You have to give them credit as well. They kept coming."
The Rangers return home Saturday afternoon against the Hurricanes.