William Karlsson and Brayden McNabb also scored to help Vegas snap Detroit's three-game winning streak. Gustav Nyquist, Michael Rasmussen and Thomas Vanek scored for the Red Wings.
Vegas snapped a four-game losing streak with a shootout win over NHL-leading Tampa Bay on Tuesday night, and now the Golden Knights have back-to-back wins to their credit.
Dylan Larkin returned for the Red Wings after missing a game with an oblique injury, and he had two assists, including a secondary one on the game's first goal. Justin Abdelkader's backhander in the first period was stopped by Marc-Andre Fleury, but the goalie left the puck loose behind him, and Nyquist converted for his 13th goal of the season.
Marchessault tied it in the second when he knocked in a rebound on the power play, then Karlsson put the Golden Knights ahead immediately after the end of a Detroit man advantage. Paul Stastny came out of the penalty box just in time to create a 2-on-1 with Karlsson. The puck went from Karlsson to Stastny and back to Karlsson, who took the return pass and easily stuffed it into an open net.
Marchessault's 19th goal of the season came on another rebound to make it 3-1.
Rasmussen pulled Detroit within one when he had space in front of the net on a power play and beat Fleury with 15:19 remaining in the third, but the Golden Knights picked up an insurance goal with 8:53 to play. McNabb flipped a backhander toward the net, and it appeared to take a deflection before slipping past Detroit goalie Jimmy Howard. Oscar Lindberg was creating traffic in front for Vegas, but the goal was credited to McNabb.
Vanek's goal came with 2.7 seconds left in the game.
NOTES: It was the 300th game for Red Wings coach Jeff Blashill. ... Detroit was coming off a four-day layoff, and the Red Wings looked sharp early, outshooting Vegas 14-7 in the first.
Golden Knights: Host Columbus on Saturday night.
Red Wings: At Buffalo on Saturday.