Ehlers made it 2-0 at 3:53 of the second period, scoring with a slap shot from the high slot after his intended pass for Dylan Samberg deflected back to him off the defenseman's skate.
Nick Schmaltz cut it to 2-1 at 8:10 from the bottom of the left circle.
At the time of the goal, Winnipeg was outshooting Arizona 22-5.
Perfetti responded for the Jets to make it 3-1 at 14:04, putting in his own rebound at the right post during a delayed penalty.
“I was trying to find the right time to pop into that spot and kind of just got lost in coverage, especially with it being 6-on-5,” Perfetti said. “I was just trying to chip it up in the air and I don't know what happened, there was a scramble and the puck went in, so I was happy to take it.”
Scheifele scored on a breakaway off a spinning pass from Ehlers to extend the lead to 4-1 at 5:11 of the third period.
Guenther got the Coyotes to within 4-2 at 12:33 on a wraparound after Hellebuyck misplayed the puck to the right of the net.
“I’m happy to be back here,” said Guenther, who had 15 points (six goals, nine assists) in 33 NHL games as a rookie last season. “I thought we got off to a good start. We were playing fast, but then we gave them too many Grade As. … But I thought I skated well, and the goal was a beneficiary of that.”
Scheifele’s empty-net goal at 18:08 pushed it to 5-2, and Lowry scored at 19:11 for the 6-2 final.
NOTES: Namestnikov has eight points (two goals, six assists) in his past six games. ... The Jets are 3-0-0 against the Coyotes this season. ... Winnipeg's 29-game streak of allowing three or fewer goals is the sixth-longest run in NHL history. The 1928-29 Boston Bruins own the record at 44 games.