Jamie Benn and Joe Pavelski scored for Dallas, the No. 3 seed, which is one win from advancing to the Stanley Cup Final for the first time since 2000.
"We understand where we are at and we haven't done anything yet," Pavelski said. "We're in position. We're one step closer, but nothing's been accomplished yet, so we'll just stay focused, try to play our best game of the series (in Game 5)."
WATCH: [All Golden Knights vs. Stars highlights]
Game 5 is in Edmonton, the hub city for the conference finals and Stanley Cup Final, on Monday (8 p.m. ET; NBCSN, CBC, SN, TVAS).
Since the conference format was adopted for the 1981-82 season, teams with a 3-1 lead in the conference finals are 34-1 (97.1 percent) winning the series. They are 288-29 (90.9 percent) winning any best-of-7 Stanley Cup Playoff series, including 10-0 in the first two rounds this season.
Alec Martinez scored, and Robin Lehner made 18 saves for Vegas, the No. 1 seed.
"I thought we created some really good looks," Golden Knights coach Peter DeBoer said. "I think we hit two or three posts. Obviously with one goal, we've got to find other ways to make it tougher on [Khudobin], but the effort is there to do that. We had enough looks tonight to extend the lead at different points. We've just got to stick with it."
Benn gave the Stars a 2-1 lead with 59 seconds remaining in the second period when he scored on the power play from the slot after John Klingberg's attempt was blocked in front.
"We're staying in the moment here as a group and taking it one game at a time," Benn said. "It wasn't pretty tonight, but we found a way to get it done."