It was Lehner's second straight shutout and fourth in his past seven starts. He backed up Marc-Andre Fleury in a 1-0 loss in Game 1 on Sunday after making 14 saves in a 3-0 win against the Vancouver Canucks in Game 7 of the second round Sept. 4.
"We didn't play our game in Game 1," Golden Knights coach Peter DeBoer said. "Tonight, we got our game back, and once we got that first goal, I thought we looked like we normally do, which is making plays and sticking pucks in the net."
Paul Stastny had a goal and an assist for Vegas, the No. 1 seed in the West, which scored four goals, including two into an empty net, in its previous four games.
Anton Khudobin allowed three goals on 27 shots for Dallas, the No. 3 seed. He was replaced to start the third period by Jake Oettinger, who made his NHL debut and saved the five shots he faced.
The Golden Knights outshot the Stars 19-7 in the second period.
"He got killed in that second period," Dallas coach Rick Bowness said of Khudobin. "Give him a breather, and you hope it'll spark some life into the guys. You put a kid in the net for his first NHL action, and you hope it'll spark some life. We had a better third period. Anton was the only reason it was 3-0. Without Anton, that's 6-0 after the second period."
WATCH: [All Stars vs. Golden Knights Game 2 highlights]
Stastny scored off a pass from Max Pacioretty to give Vegas a 1-0 lead at 4:53 of the second.
William Karlsson scored a power-play goal from the left face-off circle to make it 2-0 at 8:24.
"I think everybody was gripping their stick a little tight," Golden Knights forward Chandler Stephenson said. "We're at our best when we have that swagger and can make plays … so it was nice to get that mojo back tonight and even the series."
Tomas Nosek finished off a tic-tac-toe play with Stephenson and Nicolas Roy to make it 3-0 at 14:32 of the second.
Nosek was playing his third straight game and seventh of the postseason after being a healthy scratch four of five games in the first round against the Chicago Blackhawks and the first six games against Vancouver.
"We have a lot of great players, pretty good players, so someone has to stay out sometimes," he said. "I just try to stay ready, keep focusing and work hard every practice, and if the chance comes, I'll be ready and do my best."
Game 3 is in Edmonton, the hub city for the conference finals and Stanley Cup Final, on Thursday (8 p.m. ET; NBCSN, CBC, SN, TVAS).
"We expected them to come out hard and respond," Stars forward Tyler Seguin said. "They're a great hockey team. We kind of shot ourselves in the foot on some plays tonight and gave them some goals. Vegas is a great team. They've been the favorites all along. You expected them to respond. I expect us to respond next game."