Mark Scheifele had a pair of assists for the Jets.
Connor Hellebuyck made 28 saves for Winnipeg, who snapped a two-game losing skid to move to 27-28-10.
The Jets moved to within five points of the final Western Conference playoff spot with the win.
Mackenzie Blackwood turned aside 15 shots for Colorado, who dropped to 44-12-9.
There was no scoring in the first period.
Kyle Connor got the Jets on the board first just over two minutes into the second when he skated into a Mark Scheifele feed on the fly before snapping the disc past Blackwood, beating him glove side to make it 1-0 Winnipeg at 2:05.
The goal was his 30th of the season.
Alex Iafallo gave Winnipeg a two-goal lead at 11:52 after getting hit with a Mark Scheifele blast from the point.
The Jet winger let the puck drop and fired it past Blackwood to make it 2-0.
Martin Necas scored at 18:44 of the third with an extra attacker, hammering a Nathan MacKinnon cross-ice feed past Hellebuyck to make it 2-1.
Cole Perfetti scored into an empty net with 42 seconds remaining in regulation after stripping the puck from MacKinnon in the Jets zone.
The goal was his 9th of the season.
SHOTS-COLORADO 28 WINNIPEG 18
ATTENDANCE-14,756
