Zach Hyman scored twice, Leon Draisaitl had a goal and an assist, and Jack Campbell made 28 saves for Edmonton (26-18-3).
"The confidence has grown in the group, you can feel it on the ice, you can feel it around the room," McDavid said. "The confidence is a big thing. You have to earn confidence and it goes back to taking it one day at a time, and I think we have done a good job of doing that since the second half started here."
Brayden Point had a goal and an assist, Hedman had two assists, and Vasilevskiy made 29 saves for Tampa Bay (29-14-1), which had a five-game win streak end.
"I really liked our second period, but we made a mistake on McDavid's goal on the end, we were just a little tentative in the play and he finds a way," Lightning coach Jon Cooper said. "Most guys don't score that, but he finds a way to do those things and that's why he's a special player. We lacked a little push down the stretch there, we had the one power play that didn't work out for us. We fought until the end. It was a good game, but it's disappointing we didn't get any points out of this."