Neal Pionk and Kyle Connor each had a goal and an assist for the Jets (23-13-1), who have won two straight following a three-game losing streak.
"It was a good win. Any way we can get them, good teams find a way to win, that's the bottom line," Connor said. "It may not have been our A game tonight, but the penalty kill was huge (5-for-5) going up against the best power play in the league. Just a lot of unselfish guys back there getting in front of lanes and blocking a lot of shots (20)."
Connor Hellebuyck made 31 saves.
"He gives you a chance to win the game at the end, like we did here," Winnipeg coach Rick Bowness said. "When you're clearly half a step behind a lot of the night, your goalie gives you that confidence that we'll get going eventually. We started to skate better at times, and then when there was a breakdown, he was there for us. The guys have a tremendous amount of confidence in him, and he allows us to just stay in the fight."
McDavid had his point streak end at 17 games, and Jack Campbell made 15 saves for the Oilers (20-16-2), who were coming off a 7-2 win at the Seattle Kraken on Friday.
Leon Draisaitl missed his second straight game with an undisclosed injury.
"I thought our team played a heck of a hockey game tonight. Nobody used any excuse about the time we arrived last night, nobody talked about back-to-back or anything like that," Edmonton coach Jay Woodcroft said. "I thought we asserted our game right off the bat, I think the shots were 9-1 early. We didn't give up much, I thought we spent most of the game in their end, and in the end, we were unable to solve their penalty kill and their goaltender."