McDavid has scored 18 points (six goals, 12 assists) during an eight-game point streak since he was held without one in three consecutive losses against the Toronto Maple Leafs from Feb. 27 to March 3.
Mikko Koskinen made 24 saves for the Oilers (20-13-0), and Tyson Barrie had two assists.
"Connor's game has been really solid all year," Edmonton coach Dave Tippett said. "Even the Toronto games where he didn't get on the score sheet, if you look at the chances he was creating, there was still lots to like about his game. When he capitalizes, people notice that more and he capitalizes a lot, so he has an impact on the game."
Mathieu Perreault scored for the Jets (18-10-2). Laurent Brossoit made 19 saves.
It was the first of a two-game set; the teams will play here again Saturday.
"I think both teams beat the [heck] out of the puck tonight," Winnipeg coach Paul Maurice said. "[We] were pretty good systematically, they battled hard, everybody worked real hard."
McDavid gave Edmonton a 1-0 lead at 3:53 of the second period when he got the puck off the boards and scored from the right face-off circle shortly after coming off the bench.
"It's pretty obvious you don't want to give him any time and space," Brossoit said. "When he does have it, he's a pure goal scorer. He picked a good shot, a good spot.
"He's got a deceptive release. I mean, you can complement him all you want, [but] it's almost unnecessary. We all know it."