Connor McDavid had three assists, Leon Draisaitl had a goal and an assist, and Stuart Skinner made 18 saves for the Oilers (43-23-9), who won 5-4 at the Arizona Coyotes on Monday and are 7-0-1 in their past eight games.
"Every line contributed. Power play was good. PK was really good," Draisaitl said. "That's a great sign. … All in all, we had the play in our favor for most of the night."
Edmonton moved one point back of the Los Angeles Kings for second in the Pacific Division, and three points back of Vegas. The Kings and Golden Knights each have one game in hand.
"I don't think we're anywhere near our potential just yet," Oilers coach Jay Woodcroft said. "We're working toward that. I saw good signs in our team. … For us to find wins, while we weren't perfect in either game, I thought there was a lot of good for us to build on. We're building toward peaking at the right time, which is in about three weeks."
Jonathan Marchessault scored twice for the Golden Knights (46-22-6), who had their four-game winning streak end. Jonathan Quick allowed six goals on 34 shots before being replaced at the start of the third period by Laurent Brossoit, who made four saves.
"We tried to win by playing their game," Vegas coach Bruce Cassidy said. "We tried to make plays that weren't there. We tried to outscore them. That's not how to beat them. They're the best offensive team in the League. We're not the Edmonton Oilers on offense. We're good offensively, but we're not them. We can't get into that type of game."