Nick Suzuki had a goal and an assist for Montreal (3-10-0), which has lost four of five. Jake Allen made 13 saves.
"We kind of took our foot off the gas," Suzuki said. "Our first period was great, had a lot of momentum coming in, everyone was feeling good, and then giving up the [power-play] goal just kind of killed that. There were moments in the second and third where we could have scored, and it just didn't go in for us."
Outshot 20-1 in the first, Vegas scored three straight goals in the second to take the lead, scoring on their fourth, sixth and seventh shots of the game, including both of their power-play shots.
"Tonight was not just a poor start, that was a horrendous start," Golden Knights coach Peter DeBoer said. "It was a whole different level of how we started that game and thankfully our goalie was our best player early. And we've got a lot of character in that room and the guys fixed it."