"It's not over until it is over," McDavid said. "Obviously, those guys are great players, but there are still some guys with games left. We'll see."
WATCH: [All Golden Knights vs. Oilers highlights]
Ryan Nugent-Hopkins scored, Ty Rattie had a goal and an assist, and Cam Talbot made 30 saves for the Oilers (35-40-6), who ended a five-game losing streak (0-4-1).
Brayden McNabb, Brandon Pirri and Oscar Lindberg scored, and Malcolm Subban made 29 saves for the Golden Knights (51-23-7), who are 6-2-2 in their past 10 games and have clinched first place in the Pacific Division.
"We clinched our division a little while ago, first in the Pacific and the whole thing," Golden Knights coach Gerard Gallant said. "Sometimes, it's hard to get up and I thought for the most part, the guys have done a great job. The last game in Vancouver, they played three real solid periods and played a good game, and tonight, we weren't as sharp, but still they came out and skated hard and worked hard and Edmonton played a good, solid hockey game, too. Overall, we lost the game, but I like the way the guys competed."
Michael Cammalleri gave Edmonton a 3-2 lead at 10:07 of the third period with a power-play goal.
Rattie extended the lead to 4-2 at 13:15, scoring from the left circle off a cross-ice pass from McDavid. Lindberg cut it to 4-3 at 14:37.