Pittsburgh's first two goals came with five seconds and six seconds to go on those power plays.
The Capitals killed 13 of 14 penalties entering the game and committed a season-high six Wednesday. Washington has allowed a goal on four of its past seven penalty kills.
The Penguins have killed 17 penalties in a row after stopping the Capitals four times.
"That's huge against that team every time," Murray said. "And then our power play was really good too. I think that's key against a team like that. Especially tonight, I thought there was a lot of special teams, not a whole lot of 5-on-5. We did a really good job."
Capitals defenseman Christian Djoos scored in his NHL debut with 53 seconds left in the second period to make it 2-1. Sheary poked in a rebound 38 seconds into the third period to make it 3-1.
Djoos, a seventh-round pick (No. 195) in the 2012 NHL Draft, had an assist on Ovechkin's goal. Holtby made 33 saves for Washington (2-1-1).
"The thing with Christian is, we know that he's a good hockey player," Capitals coach Barry Trotz said. "He's going to have to continue to get stronger and continue to play at this level. You can see the instincts are really good. He's got a real good sense for the game. His IQ is really good. But it's a process. It's one game, and we'll be patient."