"It's concerning because we aren't playing well," Couture said. "We handed them goals tonight. … We're giving up too many chances, too many easy goals. We're giving up odd-man rushes. We have to get back to shooting the puck."
Malcolm Subban made 36 saves for Vegas and won his second straight start in back-to-back games in place of injured goalie Marc-Andre Fleury (lower body). The Golden Knights defeated the Edmonton Oilers 6-3 on Sunday.
Vegas eliminated San Jose in the Western Conference Second Round last season.
"These are like playoff games," Subban said. "Obviously we played these guys last year for six games, so definitely some of that bad blood carried over."
The Golden Knights top line of Marchessault, Reilly and William Karlsson combined for 10 points.
"Right now we're playing really well, maybe the best we have this season," Karlsson said. "It's been a little bit of a roller-coaster for our line this year; we weren't happy with how we were playing. It's nice we can contribute again."
The Sharks took a 1-0 lead 30 seconds into the game when Couture scored his 25th goal of the season. It was his 500th NHL point.
Karlsson made it 1-1 at 3:37 with his 20th goal of the season.
Mark Stone gave the Golden Knights a 2-1 lead with a power-play goal at 5:48, but Joe Thornton tied it 2-2 at 9:54 with a wrist shot from above the left circle.
Marchessault made it 3-2 at 12:24.
"We were the chasing the game," Sharks coach Peter DeBoer said. "That's a team if you are chasing them, they are going to make you pay. They were good at that. They were better than us on special teams.
"The regular season really doesn't have a bearing on the playoffs. We've proven that before here. We learned some lessons tonight. We just shot ourselves in foot."
Vegas extended its lead to 4-2 at 12:21 of the second period on Paul Stastny's power-play goal.
Smith gave the Golden Knights a 5-2 lead 43 seconds into the third period.
Couture scored on the power play at 10:55 to make it 5-3, but Marchessault scored into an empty net at 17:39 before Cody Eakin scored Vegas' third power-play goal of the game at 18:22 for the 7-3 final.