"We put ourselves in a tough spot but in the end, we found a way tonight," Lundqvist said. "Everybody worked really hard, especially in the third to try to make this happen."
Reilly Smith scored twice, and Jonathan Marchessault had two assists for Vegas (8-3-0). The expansion Golden Knights, who lost at the New York Islanders 6-3 on Monday, have lost two straight for the first time.
"We played a great two periods," Vegas coach Gerard Gallant said. "Until that [double minor in the third period], we were in control of the game and playing well. They scored a goal to make it 4-3, and the rest of the period, we looked like an expansion team."
Jimmy Vesey gave the Rangers a 1-0 lead at 2:45 of the first period, scoring on a pass from behind the net by David Desharnais. Former Rangers forward Oscar Lindberg tied the game 1-1 at 5:22.