The Jets shrugged off an early two-goal deficit to beat the Penguins 4-2 on Friday for their first home win of the season.
Captain Andrew Ladd scored the winner in the second period, while Evander Kane, Dustin Byfuglien and Blake Wheeler, with a late empty-net goal, also scored for the Jets.
"I thought the leadership really did a wonderful job in handling the game," said coach Claude Noel, who has been preaching a tighter defensive style.
It didn't start all that well, after Crosby put on a scoring clinic in the first with two goals to give the Penguins (2-2-0) the lead.
"We didn't manage the puck very well," said Noel. "They forced us quickly to play a quick north and south game and we turned a lot of pucks over."
Winnipeg (2-1-1) benefited from the great saves from goaltender Ondrej Pavelec, and Crosby said he wasn't happy with the way the Penguins performed after the first.
"We got some good chances, put a couple in," said Crosby. "On the road, with a 2-0 lead in the first, that's a pretty good position to be in. . . . I think we got away from the way we were playing and they just stuck with things.
"They kept playing the same way, didn't make a lot of mistakes and ended up capitalizing on ours."
The sellout crowd was loud as the Jets shot for their first home win of the season, but Crosby silenced them at just 4:26.
He raised one past netminder Pavelec's right shoulder on the short side, grazing the post and slipping through a gap that looked too small for a puck to fit.
A little more than 10 minutes later he skated in front of the net and finessed a soft backhander past Pavelec and Winnipeg defenceman Dustin Byfuglien before either knew what happened. It was Crosby's third goal of the early season.
But it was all Jets in the second, as Kane re-ignited crowd again just over a minute in on a pass from Wheeler and Byfuglien, right in front of Penguins netminder Tomas Vokoun.
Byfuglien evened things up as he slammed one in from the blue-line after a little back and forth with partner Tobias Enstrom, taking advantage of a holding penalty against Evgeni Malkin.
Ladd then put the Jets ahead for good from the right faceoff circle on a quick pass from linemate Bryan Little at 17:54.
Pavelec credited avoiding penalties — the Jets took just one — as a big part of the Winnipeg win.
"It was one of the biggest keys in this game," he said. "Crosby or Malkin, if you put those guys on the power play, it's going to be a long night for you. I think we did a great job to stay disciplined and to play five on five."
Noel gave Pavelec full marks for his part in stopping some pretty great shots.
"I thought Pavelec was outstanding in the second period," said Noel. "We took some big steps in feeling good about ourselves."
But he said they can't be too pleased just yet. Their next game is Sunday when the New York Islanders visit.