Kevin Fiala had a goal and two assists to extend his point streak to five games for the Wild (27-23-6), who scored three power-play goals and are 7-3-0 in their past 10 games.
"We need to prove that we want it, and tonight was a good effort to prove that we have a club," Stalock said. "That was a good team to play against."
WATCH: [All Golden Knights vs. Wild highlights]
Forward Alex Galchenyuk, who was acquired by the Wild on Monday in a trade with the Pittsburgh Penguins, had one shot and one takeaway playing 12:26.
Marc-Andre Fleury made 20 saves through two periods, and Malcom Subban made five saves in relief for Vegas (28-22-8), which has lost two in a row and three of its past four.
"When you come on the road against a desperate team, I think we lost the special teams battle, and for me we lost the net-front battles at both ends," Golden Knights coach Peter DeBoer said. "We didn't make it tough enough on Stalock, and three of their four goals were in the crease. They were just hungrier than we were around our net."
Joel Eriksson Ek scored on his rebound with seven seconds left on the power play at 5:30 of the first period to give the Wild a 1-0 lead.