It was Marchessault's first hat trick in the Stanley Cup Playoffs. He also scored in a 3-2 win in Game 3 here Friday.
"That's a big part of the last two games right now is controlling their top players and don't let them come up with a lot of speed in the neutral zone," Marchessault said. "When we do that, we can keep playing the right way. We just have to keep doing what we've been doing."
William Karlsson had three assists for the Golden Knights, the No. 2 seed in the Honda West Division. Marc-Andre Fleury made 17 saves.
"It feels good, but we still have a lot of work to do," Vegas coach Peter DeBoer said. "It's only two wins and we have too much respect for Colorado and their game and what they're able to do. We know there's still a lot of hill to climb, but really proud at how we've responded."
Brandon Saad scored, and Philipp Grubauer made 30 saves for the Avalanche, the No. 1 seed. Colorado has lost consecutive games after winning its first six this postseason.
Game 5 of the best-of-7 series is at Colorado on Tuesday.
"We didn't think we were going to come in here and take both games," Saad said. "We didn't play as good as we should've, but we're going back to the building where we have success and we play well at."
Saad gave the Avalanche a 1-0 lead at 1:50 of the first period on a rebound of J.T. Compher's shot from above the right face-off circle.
Marchessault tied it 1-1 with the first of five straight goals for Vegas at 7:07 after Colorado defenseman Patrik Nemeth turned the puck over below the goal line. Reilly Smith's initial shot hit the crossbar, but Marchessault scored on a tap-in from the crease off a pass from Karlsson.
"Honestly, I was kind of [celebrating] too. Then I realized it wasn't a goal," Karlsson said. "I went to the puck and just tried to shovel it back into the net. Marchessault was there. It was a bizarre situation."
Max Pacioretty gave the Golden Knights a 2-1 lead at 1:11 of the second period on a wrist shot from the left circle.