Charles Hudon, Nikita Scherbak and Jonathan Drouin scored for the Canadiens (22-29-7), who have lost five straight games (0-4-1) and eight of 10 (2-7-1).
"It's always tough when you lose," said Scherbak, whose goal was his second in the NHL, first in nine games this season. "We're trying to stick together. We have a great group of guys here, everybody supports each other, and nobody is happy to lose."
Antti Niemi started for Montreal but was pulled after allowing three goals on six shots in 9:51.
Carey Price made 25 saves in relief. It was his 551st NHL game, tying Patrick Roy for second in Canadiens history behind Jacques Plante (556).
The Golden Knights and Canadiens combined for five goals in the first period.