Anton Forsberg made 40 saves, including 17 in the first period, for the Senators (19-31-5). They have lost five in a row.
"I didn't dislike anyone's game," Ottawa coach D.J. Smith said. "I thought everyone played hard. Forsberg was outstanding, so was Lehner. We easily could've gotten ourselves a win."
Marchessault scored at 6:46 of the second period to give Vegas a 1-0 lead. He blocked a shot from Senators defenseman Erik Brannstrom, went in on a breakaway and scored with a wrist shot into the top right corner.
"It was a must-win tonight," Marchessault said. "We're chasing a couple teams and we want to make it to the playoffs. It's that time of year that good teams find a way to win, and tonight we did."
Brady Tkachuk tied it 1-1 on the power play at 8:53. Lehner saved Tkachuk's initial shot, but the puck went into the net while he tried to cover it.
"It stings," Tkachuk said. "We put in such a good effort there. It just [stinks]. … For that effort, nine out of 10 times you're going to win that game; it's just that one time where it didn't go our way. But that's what successful teams do, is put in the work day in and day out, whether it's practices or games. We're going to learn from that."