The Avs, who won eight of their nine Stanley Cup playoff games this year, are heavy favourites to progress from the series. Colorado also won the season series 3-2, though they lost the most recent game a month ago.
It was an even first period at the Ball Arena in Denver. Both teams had 10 shots in the opening frame, and both were able to successfully kill a power play. Yet, the pair went into the first intermission all square.
Things continued the same way in the second period, where the teams were once again unable to find the back of the net.
The opener eventually came with seven and a half minutes left. Taking the puck the other way, the Golden Knights went the other way, with Brandon Saad fed Dylan Coghlan, who was able to get an uncontested shot. Scott Wedgewood had no chance as the puck beat him to his right-hand side and in.
Matters got worse for the Avalanche a few minutes later. After Ross Colton was sent to the penalty box for roughing, the guests made the most of the man advantage.
Almost a minute into the power play, Vegas converted the chance. Tomas Hertl dropped it off to Mitch Marner, who skated cross-ice before finding Pavel Dorofeyev.
In front of goal, Dorofeyev shot it first-time to find the back of the net and double the Golden Knights' lead.
Down 2-0 after two periods, the Avs found themselves in a hole. Unfortunately for them, the conceded a third 94 seconds into the final frame.
On a two-on-one, Ben Hutton opted to go for goal instead of making the pass to Brett Howden. The effort was initially saved by Wedgewood, but the puck fell fortuitously for Howden, who brought it down and tapped it home from a couple of feet away.
For the second straight game in the Stanley Cup playoffs, the Avalanche were down 3-0. But, they did not give in.
They finally managed to get on the board minutes later as Valeri Nichushkin was able to finish off a centering pass from Ross Colton and give his team hope with 14:07 left in regulation.
On a power play, Nathan MacKinnon made a great move to beat his man and get a shot on net. Gabriel Landeskog was there to put the puck in and finally beat Carter Hart.
Still pushing for the equalizer, the Avs pulled their goaltender in favour of a sixth skater. That proved to be fruitless, as 45 seconds before the end, the Golden Knights capped off the game.
Devon Toews' shot was blocked in front of Vegas' goal, with Jack Eichel taking a shot on the empty Colorado net. His shot just missed, going off the boards before boucing back. Nic Dowd was first to the puck to shoot it into the unguarded goal and give his side the victory.
Game 2 will be on Friday, also in Denver, as the Avalanche look to level the series right away.