Namestnikov gave Tampa Bay a 1-0 lead at 6:10 when he tipped in a pass from Perry.
Brett Howden responded seven seconds later to tie it 1-1, tapping in a pass from Keegan Kolesar from the right wing after Nicolas Roy won the face-off.
"It was nice to get a quick response like that," Howden said. "The first five minutes they were pushing hard and we were on our heels a bit. After they scored that to get one right back, put us right back in the game. So it was nice to have that happen."
Steven Stamkos put the Lightning back in front 2-1 at 6:57 with a one-timer from the left circle off a pass from Hedman on a power play.
Marchessault tied the game 2-2 at 8:17 with a wrist shot from the left circle. It was his first goal since Jan. 7, ending a 13-game drought.
"It's probably the longest I went (without a goal)," Marchessault said. "You just have to move on. It's onto the next game. We'll enjoy it until midnight tonight. Then we'll try and get better tomorrow."
Theodore gave the Golden Knights a 3-2 lead at 14:21 when his shot trickled five-hole on Vasilevskiy.
Marchessault then scored his second to make it 4-2 at 17:47, collecting the rebound of Theodore's initial shot and finishing with his backhand. The goal was confirmed by a video review after Tampa Bay challenged for high-sticking earlier in the sequence.
"I thought my stick was around my shoulders," Marchessault said. "It hit the bottom part of it."