Winnipeg, MB – Ondrej Pavelec made 33 saves for his second 0, on Thursday night.
It was the first time Winnipeg hosted the former Jets franchise that left the city in 1996 to become the Coyotes.
Pavelec stopped 11 shots in the first period, 16 in the second and needed only six saves in the third to complete his eighth career shutout.
Bryan Little scored the game's only goal 6:53 into the first period and the Jets earned just their fifth win in 13 games.
Mike Smith was a hard-luck loser for the Coyotes, giving up just one goal on 31 shots.