Sidney Crosby had a goal and an assist, and Casey DeSmith made 26 saves for the Penguins (19-13-6), who are 0-4-2 during the skid.
"I'm sure everyone involved is frustrated because our expectations are high," Pittsburgh coach Mike Sullivan said. "When you don't live up to them, that's without a doubt, that's one of the emotions you deal with. But we can't allow frustration to get in the way of our ability to perform moving forward. We just have to become more determined and find ways to be a better hockey team."
Kessel gave Vegas a 1-0 lead at 1:52 of the first, firing a wrist shot after a feed from Cotter.
Eichel, who played his first game since Dec. 9, made it 2-0 with a wrist shot from the right face-off circle off the rush.
"It just starts your game; you get a little confidence," Eichel said. "Get that one out of the way and just go out there and play."
Chandler Stephenson extended the lead to 3-0 at 11:20 with a one-timer from the slot for a power-play goal.
Stone gave the Golden Knights a 4-0 lead at 19:49 of the second period, when he redirected Brayden McNabb's shot through the five-hole.
Ty Smith cut it to 4-1 at 4:04 of the third period, scoring his first goal with Pittsburgh in his third game, but Cotter made it 5-1 at 12:05.
Crosby, who was named to the
2023 Honda NHL All-Star Game
earlier Thursday, scored with 1:30 remaining for the 5-2 final. It was his 20th goal of the season.