Brett Howden had a goal and an assist and Dylan Coghlan also scored in regulation as Vegas won for the seventh time in eight games. Laurent Brossoit had 27 saves.
"I like the resiliency of the group," Golden Knights coach Peter DeBoer said. "We did enough to win. ... You got to win all kinds of different ways. Tonight it was our fourth line that was the difference."
Mika Zibanejad and Chris Kreider each had a goal and assist in the second period for the Rangers, who lost for the fourth time in six games after a seven-game win streak. Alexander Georgiev, making his sixth start in place of injured starting goalie Igor Shesterkin, stopped 28 shots.
After Vegas' Nicolas Roy and Evgenii Dadonov and New York's Kaapo Kakko and Zibanejad were stopped in the first two rounds of the shootout, Marchessault broke through for the Golden Knights. Brossoit then denied Ryan Strome to preserve the win.
Both teams had chances in the 3-on-3 extra period, but Brossoit all seven shots by the Rangers and Georgiev all four by Vegas.
The Golden Knights managed just four shots on goal in the second period and the teams played tight for much of the third, combing for just three shots on goal — two by Vegas — over the first 14 minutes.
DeBoer acknowledged fatigue may have been a factor as the Golden Knights were playing their third road game in four nights.
"The second of a back-to-back and three in four nights for us, I think I saw a little bit of that," he said. "I really liked our first period. You have to give them credit, Zibanejad's line particularly took a step in the second period. They had us on our heels for a good chunk of the middle of that game."
Coghlan tied it 2-2 with 5:16 left on Vegas' fifth shot of the third. After a faceoff in the offensive zone, the puck came to Coghlan, who fired a shot from the top of the right circle past a screened Georgiev.
The Rangers had 11 shots on goal in the second and then managed just two in the third,
"The first 15 minutes (of the game) wasn't great, but after that we played real good hockey the rest of the game," Rangers coach Gerard Gallant said. "(The third period) wasn't as good as the second, but they weren't getting a lot either. It was one of those periods there wasn't much going on."
The Rangers trailed 1-0 after 20 minutes, but picked up their intensity in the second.
Zibanejad tied it 17 seconds in as he got a pass from Kreider on the left side in the neutral zone, brought the puck across the blue line and a fired a shot from beyond the left circle that went through Brossoit's legs for his seventh.
Kreider made it 2-1 midway through the period with his 11th power-play goal of the season, second-most in the NHL. Zibanejad sent a pass from the left side with the puck going between the skates of two Vegas defenders to Kreider at the right doorstep, and he quickly deflected it past Brossoit for his 18th of the season with 9:35 left.
Howden, facing the Rangers for the first time since an offseason trade to Vegas, got the Golden Knights on the scoreboard 6:49 into the game. William Carrier sent a pass to Howden streaking toward the net, and his first attempt was stopped by Georgiev. However, Howden backhanded the rebound for his third.
"It was a pretty fun night," Howden said. "Obviously I had a lot of excitement coming back here. I'm just really happy we got the win."
Kreider got his 195th career goal, tying Don Maloney for 12th place on the franchise list. ... Georgiev made his 100th career start. ... Rangers C Greg McKegg appeared in his 200th game. ... Howden played in his 199th career game and D Brayden McNabb his 299th with Vegas.
Shesterkin took part in the morning skate but missed his eighth straight game due to a lower-body injury. LW Artemi Panarin was also out after leaving in the second period of Wednesday night's win at Arizona. He is day to day. Filip Chytl — a healthy scratch against the Coyotes — took Panarin's spot in the lineup.
SEEING FAMILIAR FACES
Gallant and Rangers forward Ryan Reaves were facing their former team for the first time.
Gallant was the Golden Knights' original coach, when the franchise joined the league in 2017, until he was replaced by Peter DeBoer on Jan. 15, 2020. Reaves, acquired from Vegas in an offseason trade, had 18 goals and 24 assists in parts of four seasons with the Golden Knights..
Howden had 16 goals and 33 assists in three seasons with the Rangers.
Golden Knights: At New York Islanders on Sunday to finish a four-game trip.
Rangers: Host Montreal on Wednesday night in the middle game of a three-game homestand spanning 11 days.
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