Kessel scored once in the first period and twice in the second to lift Pittsburgh from a 1-0 deficit to a 3-1 lead. It was his sixth hat trick, his first with the Penguins and his first since Feb. 1, 2014, against the Ottawa Senators when he was with the Toronto Maple Leafs.
Tomas Nosek and Reilly Smith scored and Jonathan Marchessault added two assists for Vegas, which lost for the fourth time in the first eight days of the season.
A marquee matchup of Vegas' Marc-Andre Fleury, the former Pittsburgh franchise goaltender, against his former teammate, Penguins goaltender Matt Murray, didn't happen. Fleury started a night earlier in Vegas' 5-2 loss at Washington, and Murray sustained a concussion Monday in practice.
Pittsburgh backup Casey DeSmith (35 saves) was matched against Golden Knights backup Malcom Subban (18 saves).
Nosek opened the scoring at 6:28 of the first. After a Penguins turnover, Nosek beat DeSmith on a backhander.
Kessel answered 1:35 later. Malkin won a faceoff in the left circle that went directly to Kessel, who stepped into the circle and beat Subban short side for a 1-1 tie.
At 9:37 of the second period, from deep in his own end, Malkin hit Kessel with a pass around the near blue line, and the speedy winger had a clear path toward Subban. Kessel lifted a shot over Subban's glove for a 2-1 Penguins lead.
Just 57 seconds later, Guentzel scored on a shot off the post to make it 4-1.
Smith cut it to 4-2 at 13:35 of the third from beside the net, the 100th goal of his career.
(With inputs from agencies.)