Sanford tied it 3-3 with a power-play goal at 4:53 of the third period, tapping in the rebound of a Mike Hoffman shot.
David Perron's one-timer on the power play gave the Blues their first lead, 4-3, at 10:40, but Martinez tied it 4-4 47 seconds later at 11:27.
St. Louis cut it to 2-1 on O'Reilly's one-timer from the right circle at 5:14 of the second. Tomas Nosek restored Vegas' two-goal lead when he scored from the slot to make it 3-1 at 10:12.
Tarasenko tapped in a loose puck for first goal since Oct. 21, 2019, making it 3-2 at 13:36. The forward was playing his third game of the season after having left shoulder surgery for the third time in his NHL career Sept. 17.
"It's nice to score after that long break," Tarasenko said. "... Being honest here, it's a big game for me. First game home. Now my family is able to see me play, my kids and my wife. [To] be able to score a goal in front of them, they know it was a tough time. But like I said before, when you score and the team is winning, you have different emotions. But it was nice to get one."
Mark Stone gave Vegas a 1-0 lead at 14:48 of the first period when he redirected Chandler Stephenson's pass from in tight. Marchessault made it 2-0 41 seconds later after the puck caromed into the slot, scoring with a backhand at 15:29.
NOTES: Stone has scored 12 points (three goals, nine assists) his past six games and 14 points (three goals, 11 assists) in 14 games against the Blues. ... Vegas won at St. Louis for the first time (1-4-0). The Blues have never lost to the Golden Knights in regulation (6-0-5). ... St. Louis defenseman Marco Scandella played his 600th NHL game. ... O'Reilly has scored 14 points (six goals, eight assists) in 10 games against Vegas. ... It was Binnington's first game since he signed a six-year, $36 million contract Thursday.