Nalimov was spectacular in the third period as he shut the door despite Russia being outshot 18-8.
Alexei Baskov put Russia ahead for good 2:43 into the third period after first-period goals by Igor Rudenkov and Alexander Barabanov.
The WHL opened the game with a goal from Griffin Reinhart just 45 seconds after the opening faceoff. They later tied the game 2-2 on a short-handed goal by Taylor Leier in the second period.
Eric Comrie finished with 22 saves for the WHL.
Russia and the WHL finish the series Thursday in Lethbridge, Alta.
Russia lost its first two games of the series to the Quebec Major Junior Hockey League before winning two games against the Ontario Hockey League.