Gaudreau gave the Wild a 1-0 lead with a power-play goal at 14:37 of the first period with a wrist shot from above the right face-off circle.
Dumba made it 2-0 at 8:02 of the second period. Jordan Greenway won a board battle and pushed a loose puck out to Dumba, who scored from the slot.
Soderblom cut it to 2-1 at 18:41 with an open backdoor rebound, but Zuccarello responded 16 seconds later at 18:57 with a shot from his knees for a 3-1 lead.
"Obviously, that's a goal you want back," Hellberg said. "Everyone froze a little bit. I have to be faster making that save, especially in a crucial moment in the game like that we just scored. It killed our momentum a little bit, so yeah, of course it was a tough one for sure."
It was Zuccarello's 10th goal of the season. He has three goals and seven assists during his point streak.
"Just lucky. Nice to see it go in," Zuccarello said. "It was a big goal to go into intermission with [a two-goal lead] instead of one. That was big."