Theodore beat goalie Andrei Vasilevskiy with a one-timer from above the right face-off circle on the power play to give Vegas its third consecutive win and hand Tampa Bay (24-7-2) its first loss in eight games.
\[WATCH: All Lightning vs. Golden Knights highlights\]
After the Golden Knights killed a throwing the stick penalty against Deryk Engelland at 16:52, Lightning defenseman Braydon Coburn was called for holding Neal's stick with 24 seconds left. Haula won a puck battle in the left corner and passed to Marchessault above the left circle for a cross-ice pass to Theodore.
"I wasn't sure how much time was left," Theodore said. "I knew it was ticking down, but to have two seconds left to win, that was big. I saw a good battle down low from our guys, the puck came up and across, (and) I was just trying to shoot as hard as I can anywhere I could."
The Golden Knights are on an eight-game point streak (7-0-1) and tied with the Nashville Predators, St. Louis Blues and Los Angeles Kings for first in the Western Conference.
"We're having a lot of fun, we're confident in each other," Haula said. "All night tonight, I felt like we kept pushing. [Tampa Bay is] a phenomenal hockey team, and I thought we played really well 5-on-5."
Defenseman Victor Hedman had a goal and two assists, Steven Stamkos had a goal and an assist, and Nikita Kucherov, who leads the NHL in goals (23) and points (48), had two assists for the Lightning.