William Carrier scored, and Marc-Andre Fleury made 31 saves for the Golden Knights (8-11-1), who lost at home for the first time in four games and have lost six of their past nine (3-6-0).
"Definitely not the position we want to be in," Vegas forward Max Pacioretty said. "However, we are about to face a lot of division teams. We want to try to go on this road trip knowing we can win a lot of these four-point games.
"You've got to win against your division to make the playoffs, and I know it's early in the season but we've got to string together some wins right now and get together as a group and create our identity, because it's been one night on, one night off throughout the year so far. That's not good enough."
Carrier scored for the second time in five games, at 6:03 of the first period, to give the Golden Knights a 1-0 lead, but O'Reilly scored 38 seconds later to tie it 1-1 at 6:41.
"That was great. It just shows leadership," Allen said. "You go out there, have a hard-working shift, work down low, and get a nice goal. It got us right back in the game, and it was a great play by a great line."
The Blues scored three times in the second period. O'Reilly gave them a 2-1 lead at 7:02 with his second of the game. Schenn scored at 16:13 with a deflection of defenseman Joel Edmundson's shot for a 3-1 lead, and Sundqvist scored at 17:12 to make it 4-1.
"Not acceptable," Golden Knights forward Pierre-Edouard Bellemare said. "We had a decent first but came out flat in the second. Not acceptable at all."
Blues forward David Perron played at Vegas for the first time against his former team. Perron, who had an NHL career-high 66 points (16 goals, 50 assists) last season with the Golden Knights, was held without a point and had no shots on goal in 15:36.
"I got so many messages," Perron said. "You could feel the love from this city, for sure. It's one of those that it's unfortunate that it didn't work out. I still kind of wish that it would've been different, but I like the way we played and that's what matters right now."
