Tyler Johnson, Brayden Point and J.T. Miller scored for Tampa Bay (7-1-1), which won its third straight game and improved to 6-0-1 in its past seven. The nine-game start equals the best start to a season in Lightning history (2003-04; 2017-18).
"Give Vegas credit, they made a big push, but our goalie was there when we needed him and it's a big win in a tough spot on the road," Lightning coach Jon Cooper said. "He was nominated for the Vezina (Trophy) last year, and that wasn't by fluke. When we have our breakdowns, he's been a rock for us."
WATCH: [All Lightning vs. Golden Knights highlights]
Shea Theodore and William Karlsson scored for the Golden Knights (4-5-1), who were 3-0-1 in their past four games. Marc-Andre Fleury made 20 saves.
Tampa Bay defeated Vegas for the first time after the Golden Knights swept the season series in 2017-18, their inaugural season.
"That's a really good hockey team," Lightning defenseman Dan Girardi said. "They're Stanley Cup finalists for a reason, so we'll take those two points. It's a tough building to play in, it's exciting and fun to play in, but we're going to take these two points and move on to Arizona."
Johnson scored off a rebound at 3:05 of the first period to give Tampa Bay a 1-0 lead.
Theodore scored at 5:31 of the first to tie the game at 1-1. It was the first goal by a Golden Knights defenseman this season.