Mikkel Boedker had two goals and an assist, Shane Doan added a goal and two assists, and the Coyotes beat the Jets 4-1 on Thursday night.
The Coyotes, routed by St. Louis 6-0 on Tuesday, scored their first three goals on power plays, two in the game's first 3:18.
Oliver Ekman-Larsson had Arizona's other goal. Mathieu Perreault scored for Winnipeg.
"The challenge was to be better and have a little bit of pride," Doan said. "It was embarrassing last game at home."
Mike Smith, in goal for the game against the Blues, made 34 saves in one of his best performances of what has been a difficult season. Ondrej Pavelec stopped 26 shots for the Jets.
"That game just seemed to have more flow to it than other ones I've been in this year," Smith said. "It was an easier game to stay in, and obviously when you have the lead it takes some pressure off."
The three power-play goals — in five attempts — matched the Coyotes' season high. The Jets were 0-for-7 on power plays against an Arizona team that entered the game last in the NHL in penalty kills.
"Tonight we lost the special teams battle," Perreault said.
Arizona's penalty kills included a four-minute, high-sticking penalty against Doan in the third period.
The Coyotes have lost two of their last four, both by 6-0 scores, and followed both with victories.
"We were just way more competitive tonight," Arizona coach Dave Tippett said. "We need to do that night in and night out."
The Jets lost on the road in regulation for the first time in nine games. The last time they failed to get a point in a road game was Nov. 15 at Nashville.
Boedker's second goal, after Winnipeg had cut the lead to 3-1 early in the third period, was a near coast-to-coast drive, speeding past the defence and pushing the puck into the net just inside the left post.
"Yeah, those feel good," he said. "It doesn't happen every night, but when it does it feels good."
Smith called it "a tremendous goal at the perfect time of the game."
"They'd just scored, and they were kind of making a push," he said. "We didn't want to say, 'Oh, here we go again.' We wanted to step on the gas and push back."
Just 23 seconds into the game, Winnipeg's Bryan Little drew a two-minute penalty for tripping. That opened the way for Boedker to score from in front on a pass from Antoine Vermette just 1:10 in.
Two minutes later, Ben Chariot was called for hooking. Just 9 seconds after that, Ekman-Larsson's wrister sailed over the glove of Pavelec, giving Arizona a 2-0 lead 3:18 into the game.
The Coyotes survived a rash of penalties late in the first period.
Winnipeg twice had a 5-on-3 advantage, for a combined 1:44, but the Jets couldn't score. Winnipeg is 0-for-10 on 5-on-3 situations this season.
Arizona got its third power-play goal a few seconds after a 5-on-3 advantage ended. Doan got the rebound of Michael Stone's shot and poked it past Pavelec to make it 3-0 with 4:25 to play in the second period.
Little redirected the puck through his legs to Perrault, who ruined Smith's shutout bid and briefly cut it to 3-1.
Winnipeg had a goal waived off.
"Well, it was a good goal but that has nothing to do with it," Jets coach Paul Maurice said. "I'm not going to sit here and say it's 2-1 that changes the game. We're responsible for our play. We weren't good enough to win a hockey game tonight."
NOTES: Coyotes are 5-2 after being shut out. ... Ekman-Larsson's 11 goals are most on the team. ... Arizona is 5-0-1 in games in which it has scored two power-play goals. ... The Coyotes entered the game second in the Western Conference in power-play percentage at 21.1. per cent. ... Winnipeg is 11-5-5 on the road. ... The Jets won at Arizona 6-1 in the teams' season opener on Oct. 9.