The Jets had a glorious chance to take the lead under two minutes into the second period, Patrik Laine found Connor on a two-on-one but the Grubauer stretched over a made a highlight reel save.
Connor would get his 18th of the season at 8:27 after some good forechecking caused Cale Makar to turn the puck over and the Jet forward got a fortuitous bounce past Grubauer to make it 2-1.
At 13:47 and Connor in the box for holding, the Avs power play tied the game with Girard and MacKinnon teaming up again. This time MacKinnon one timed a Girard pass past Hellebuyck. It marked the eighth time in the last nine games Winnipeg has allowed a power play marker.
Just 1:06 later, Winnipeg took the lead again. Scheifele played give and go with Neal Pionk and the Jets defenceman finally finding Scheifele high in the slot, he scored his 18th of the season and gave the Jets a 3-2 lead into the second intermission.
The Jets held that lead until Connor took his second penalty of the night, a double minor for high sticking Girard. The Avs had a long run of offensive zone time and with 1:50 left in the man advantage, Gabriel Landeskog scored to tie the game.
Winnipeg finally got their first man advantage of the night with 9:22 left in the game and they made it count. Pionk threw a shot at the net and Connor tipped it past Grubauer from the top of the Colorado crease for the Jets fourth one goal lead.
"That kind of sucks. I have to control my stick a little better but I was trying to make a play and I ended up with four minutes," said Connor.
You know especially watching them score too, it's tough to sit there and watch that. We battled back. You know everybody top to bottom, we got efforts from everybody so it was a big win."