Subban, the younger brother of Devils defenseman P.K. Subban, won his fourth straight game in his fifth straight start in place of Marc-Andre Fleury, who is away from the Golden Knights because of a family matter.
"Obviously you get a couple wins you feel better about yourself, you feel good about your game," Malcolm Subban said. "It's been great, but there's still stuff to work on. It's coming along, so it feels good right now."
Marchessault's third goal came on the power play when he scored off his rebound at the left post to give the Golden Knights a 4-2 lead at 9:40. His second goal, on a tip-in, gave the Golden Knights a 3-2 lead at 5:04. His first goal, off a backhand from the right circle, made it 2-2 at 1:05 into the period.
Nico Hischier scored with 10:00 remaining to make it 4-3.
"I would say I'm still processing (the day), but I tried to focus on the game and I think we came out really good, but in the third period, we got scored on and it feels like, 'Not again,'" Hischier said. "It shouldn't be like that. We're all mentally strong enough that we know it's a tie game and we have to play strong."
Kyle Palmieri gave the Devils a 1-0 lead at 16:31 of the first period. Stephenson, acquired in a trade with the Washington Capitals on Monday, scored for a 1-1 tie at 5:24 of the second period. Jesper Bratt gave the Devils a 2-1 lead on a slap shot from the right circle at 14:17.