Heading into the second period down by two Sidney Crosby goals, the Jets' answered with three of their own from Evander Kane, Dustin Byfuglien and Andrew Ladd, taking a 3-2 lead into the game's final stanza.
Both teams would trade chances through the third but Czech goaltenders Ondrej Pavelec and Tomas Vokoun stood tall, thwarting off any and all efforts before a Blake Wheeler empty net goal sealed Winnipeg's 4-2 victory.
With the win, the Jets have now won two games in a row and sit at 2-1-1 on the season, good enough for a very premature second place in the NHL's Southeast Division.
The Pens, for their part, have dropped their second in a row to Canadian teams and will head home looking for answers.
The Jets will now set their sights on John Tavares and the New York Islanders, whom they will host Sunday evening.