Brenden Dillon had two goals and an assist, and Connor Hellebuyck made 23 saves for Winnipeg (5-4-2), which had lost three straight (0-1-2).
The Jets trailed 2-0 and 3-2 before rallying with three consecutive goals to win their seventh straight against the Coyotes dating to Jan. 4, 2022.
"There's going to be some adversity in games or someone (on the other team) is going to play well, and they've got the talent to hurt you," Dillon said. "But our group understands what makes us successful. We got to our game in the second period. This is something we can definitely build on."
Lawson Crouse had a goal and an assist for Arizona (5-5-1). J.J. Moser and Liam O'Brien also scored, and Karel Vejmelka made 22 saves.
"The second period was the turning point," Coyotes forward Nick Bjugstad said. "They came at us hard. We had some scoring chances, but I didn't like the way we were working as a five-man unit. … An afternoon game like this at our rink, we've got to be harder to play against."
Niederreiter tied it 3-3 at 17:01 of the second period with a redirection in front on a power play.
Dillon gave Winnipeg its first lead, 4-3, at 3:23 of the third period, scoring on a slap shot from the top of the left face-off circle.
Niederreiter then made it 5-3 at 7:16, pushing the puck into the net after Dillon's shot deflected off Adam Lowry and remained on the goal line. It was his third NHL hat trick and first with the Jets.
"As soon as I saw it there, I wasn't sure if it went in already," Niederreiter said. "I was like, 'I'm just going to poke it in and see.' At the end of the day, it was a huge, huge goal for us. We needed that goal, and it doesn't matter who scores it."