Keller tied it 1-1 with a power-play goal at 5:00 of the second period after scoring off a passing play from Nick Schmaltz and Logan Cooley.
The Rangers killed off a 5-on-3 early in the third with the game tied 1-1 after Alexis Lafrenière was called for slashing and Ryan Lindgren for unsportsmanlike conduct with 1:19 remaining in the second. The Coyotes had three shots on goal during the power play.
"We have to get one there," Arizona defenseman Sean Durzi said. "I think that's what it comes down to. And you can look at so many aspects of that game. To get one there, it's a different game, and it didn't happen for us. They made a couple of good blocks ... but it's something we'll work on."
The Coyotes were 1-for-5 on the power-play.
"[The penalty kill] came up big, especially that first part of the 5-on-3," said Zibanejad, who played 3:01 short-handed. "A two-minute 5-on-3, that's not easy and the guys on the ice did an amazing job. And 'Shesty' as well to keep us in it and honestly, surviving those two minutes, I thought we got some momentum out of that and came up with our own power-play goal."
Shesterkin is 4-for-4 in saving penalty shots in his NHL career.
"Obviously as a team, you never want to give [a penalty shot] up, but [Shesterkin] has that ability and he's pretty kind of stone-cold killer in his veins," New York captain Jacob Trouba said. "When those kind of moments come around, he's always come up big for us."
NOTES: Lindgren played after missing a 5-3 loss to the Columbus Blue Jackets on Saturday because of an upper-body injury. He led New York skaters in ice time (23:53) and had two shots on goal. … Coyotes defenseman Matt Dumba played his 600th NHL game. He had two shots on goal and two blocked shots in 19:11. … Rangers forward Kaapo Kakko had an assist on Kreider’s goal and is one point from 100 in his NHL career (44 goals, 55 assists). … Keller has a point in all six games he has played at Madison Square Garden (four goals, three assists). … Durzi led all skaters in ice time (29:04).