The Golden Knights (1-4-0) have lost four straight games for the first time under coach Peter DeBoer, who was hired Jan. 15, 2020.
Robin Lehner made 24 saves for Vegas in his fifth consecutive start to begin the season.
"We're NHL players, [a] very good team organization," Lehner said. "Obviously, it [stinks] losing. No one likes it. But you know what, it's a bit of adversity that this team hasn't gone through yet. Good teams can dig themselves out."
The Islanders know about adversity. They played the sixth of 13 straight road games to begin the season before their home opener Nov. 20 against the Calgary Flames while waiting for the completion of their new arena, UBS Arena, in Elmont, New York.
"People forget we had six preseason games on the road too," coach Barry Trotz said. "We've been grinding through that. A long road trip, which we got off to a tough start, and we've sort of had to piece it together."
New York won't play again until Saturday, at the Nashville Predators.
Bailey gave the Islanders a 1-0 lead at 2:16 of the first period when he scored off the rebound of a shot by Jean-Gabriel Pageau.
"Tail end of a back-to-back, on a long trip, I think getting off to a quick start and getting the lead is certainly a good thing," Bailey said.