The Golden Knights, enjoying the greatest season of any first-year expansion club in major North American sports history, equalized the best-of-seven Western Conference Final at 1-1 with game three Wednesday at Las Vegas.
The series winner will face either Washington or Tampa Bay in the Stanley Cup Final.
Slovakian left wing Tomas Tatar opened the scoring for Vegas 13:23 into the opening period and the Golden Knights made it 2-0 just 3:58 later after a mid-rink turnover allowed Marchessault to charge in alone and beat Winnipeg goaltender Connor Hellebuyck.
"We just played hard right off the bat and were able to get that two-goal lead. We played really well with that lead," Marchessault said.
Kyle Connor answered for the Jets with 12:43 remaining in the third period, the NHL's top rookie goal scorer with 31 connecting just inside the near post to the right of Vegas netminder Marc-Andre Fleury, the US left winger's third playoff goal lifting Winnipeg within 2-1.
But just 88 seconds later, the Golden Knights silenced the Canadian crowd as Marchessault netted another, taking a centering pass from William Karlsson and backhanding the puck into the net.
"We were a little sloppy in the first period but we played well in the second and third," Marchessault said.
"We were good in the D zone and we played well. We just need to look at ourselves in the mirror at the end of the game and if we can do that we'll be fine."
Fleury, a three-time Stanley Cup champion with the Pittsburgh Penguins, made 30 saves for the Golden Knights, who return home for the next two games and would host a sixth game if needed before their devoted fans.
"They are the best fans in Vegas and they are definitely going to show it off," Marchessault said.
The Jets-Knights matchup is a fairy tale matchup, with Vegas formed only a year ago, its roster assembled from castoffs by other clubs in an expansion draft plus off-season moves by general manager George McPhee.
In 17 prior seasons, the Jets had not won a playoff series, missing out on the post-season in 10 of 11 campaigns as the Atlanta Thrashers before moving to Winnipeg in 2011, adopting the same name as the former NHL club that moved to Arizona in 1996.
But this season, the Jets caught fire, ousting Minnesota in the first round and defending Western Conference champion Nashville in seven games in the second round.