Kyle Brodziak and Pierre-Marc Bouchard also added goals as the Wild won for the sixth time in their past seven games.
The Avalanche started off sluggish in their first contest in more than a week, allowing two goals in a 61-second span at the outset. They were scheduled to play Tuesday in St. Louis after the All-Star break, but it was postponed due to weather.
Milan Hejduk scored twice and Chris Stewart added another with 10.7 seconds remaining for the slumping Avalanche, who have dropped four of their past five.
Hejduk provided a late spark by scoring 45 seconds into the final period and drawing the Avs to within a goal at 3-2. They had a shot at tying the game when Martin Havlat was called for a double-minor after his stick caught T.J. Galiardi in the face.
But Theodore was at his best with the Wild down a player, turning back one shot after another against his former team.
Bouchard then sealed the win when he backhanded a shot past Craig Anderson for his fifth goal of the season.
Hejduk put the Avs on the board midway through the second period when he took a pass from Kevin Porter on a 2-on-1 break and rolled it past Theodore. Hejduk had just emerged from the penalty box, jumping into the play in Colorado's end and breaking up a pass to set up the rush.
Brunette countered with his second goal of the game, knocking in a loose puck on a power play.
Brodziak and Brunette got the Wild rolling early in the game, scoring twice before many of the fans had time to even settle into their seats. Minnesota nearly added another 13 seconds later when Bouchard glided in on a breakaway, only to be turned away by Anderson.
Later in the first period, Havlat skated in all alone, but his shot was stuffed when Anderson stuck out his left skate.
Theodore was on his game as he returned to the net after missing time with a hip injury. The 34-year-old goalie appeared in 91 games for the Avs over the span of three seasons.
Brunette also haunted his former team as he has 26 points in 42 games against Colorado. He played three seasons with the Avalanche as well.
Colorado was out of sync most of the first period, something Avalanche coach Joe Sacco was hoping to guard against, even putting his team through a rigorous workout the day before. This was the team's first game since a loss to Phoenix on Jan. 26.
Although Ryan O'Reilly missed his sixth straight game with a shoulder injury, Sacco remained optimistic the forward will be ready soon, possibly even Saturday against Anaheim.
O'Reilly has been out since a scary crash in Minnesota on Jan. 14, sliding into the boards headfirst.
Peter Forsberg participated in the morning skate Thursday as he continues to ponder a comeback. He's been testing his conditioning and the strength of his chronically injured right foot to see if he's even up for a return.
Forsberg had a solid skating session Thursday. This after sounding a little bit discouraged the day before following an intense workout that had him fiddling with his right skate.
The Swedish star hopes to make a decision soon, especially since the Avalanche are heading out on the road next week for a four-game swing.
"I think right now the ball's in his court," Sacco said. "Peter's the only one that's going to be able to tell us really how he feels."
Notes: Avs D Ryan Wilson turned 24 on Thursday. ... Wild D Marco Scandella missed his seventh straight game with a concussion. ... A snowstorm blew through Denver on Thursday, leading to a sparse crowd at Pepsi Center. So sparse, in fact, the voices of the players on the ice reverberated around the arena. ... With Minnesota's win, the season series is tied at 2-2 with two more games to go.