McDavid, who also had an assist, leads the NHL with 81 points (28 goals, 53 assists) in 46 games. He is on pace to score 99 points this season.
"His year, this year, has been just superb," Oilers coach Dave Tippett said. "There's very few people that you see who can dominate a game like he can, and he does it in a lot of different aspects of the game. His speed is unbelievable, but his hands and his thinking are at another level also. He's a driver on our team."
Leon Draisaitl had a goal and an assist, and Mike Smith made 36 saves for Edmonton (28-16-2), which has won three of its past four games and leads Winnipeg by one point with two games in hand.
The top four teams in the division will qualify for the Stanley Cup Playoffs.
"It's good for our confidence," McDavid said of the Oilers' 6-2-0 record against the Jets this season. "But the playoffs is a different animal. We're obviously jostling for position and kind of leaning that way that we might play them, so we want to finish ahead of them and have home-ice advantage. We'll see what happens moving forward."
Mark Scheifele scored for Winnipeg (27-18-3), which has lost four in a row. Connor Hellebuyck allowed six goals on 23 shots before being replaced at the start of the third period by Laurent Brossoit, who made seven saves.
"It was enough," Jets coach Paul Maurice said. "I didn't want Connor skating off the ice in that game because he's made a bunch of saves. I didn't have him [responsible] for any of them. I didn't want him coming off the ice during the period and making the skate so, after two, he had had enough work."