Devon Toews had a goal and an assist, Mikko Rantanen had two assists, and Philipp Grubauer made 27 saves for Colorado (9-4-1).
The Avalanche won for the first time in three outdoor games. They lost their first two in the NHL Stadium Series: 5-3 to the Detroit Red Wings at Coors Field in Denver on Feb. 27, 2016; and 3-1 to the Los Angeles Kings at the United States Air Force Academy on Feb. 15, 2020.
"The overall experience, it was amazing," Avalanche captain Gabriel Landeskog said. "It's a memory of a lifetime. Finally, we broke the curse of these outdoor games and we were able to win one so that makes it a lot more special."
Alec Martinez and Alex Tuch scored, and Marc-Andre Fleury made 36 saves for Vegas (10-4-1), which was playing its first outdoor game.
The Avalanche defeated the Golden Knights 3-2 on Tuesday after losing to them 1-0 on Sunday. They will play for a fourth straight time at Colorado on Monday.
"It's one of those moments, one of those games that you will remember because of the setting and the situation," Vegas coach Peter DeBoer said. "I think the disappointment for our group was just in how we executed in the first period. I thought we could have been a lot better. I thought [Fleury] gave us a chance to hang around. I thought we came out and reset tonight and played better. Still, we could never catch up. We were chasing the game."
Samuel Girard's goal at 2:58 of the first period, on a wrist shot from the right face-off circle off a pass from MacKinnon, gave the Avalanche a 1-0 lead.
Colorado outshot Vegas 17-8 in the period.
"I loved our first period," Avalanche coach Jared Bednar said. "I thought we came out with lots of jump, great intensity. We were hounding pucks. I thought our guys were really skating well."
The Golden Knights tied it 1-1 at 7:37 of the second period when Martinez scored on the rebound of Alex Pietrangelo's shot.
Girard and Martinez scored exactly nine hours apart.
"I'll remember this experience," Martinez said. "Anytime you have an opportunity to play in an outdoor game, it's pretty special. … As for the game, it's pretty disappointing."
The Avalanche went ahead 2-1 when MacKinnon scored from the right circle on a three-zone solo rush at 11:18. He forced a turnover with a backcheck, got the puck in Colorado's defensive zone from Toews, skated through the neutral zone and forced Pietrangelo to back up in Vegas' defensive zone, giving him the space to score on a quick shot to the far side.
"I had some speed," MacKinnon said. "It was a tough gap for the forward and defenseman. ... I wasn't really aiming, just trying to get it off on [Pietrangelo's] stick and caught the far side."
Colorado killed a 5-on-3 for 1:22 early in the third period, allowing Vegas one shot on goal.
"That is an opportunity for us to jump back in the game and we have to seize those opportunities," DeBoer said. "Disappointed with our looks and our execution."