Lundqvist, who recorded his 27th win of the season, passed Martin Brodeur for most wins by a goaltender in his first 11 NHL seasons. He has won nine of his last 12 starts and allowed two goals or fewer in 13 of his last 18 appearances.
Kevin Hayes, Dominic Moore and Jesper Fast scored for the Rangers, who won their fourth straight, and fifth in six games. The Rangers have at least one point in 14 of their last 20 games.
Penguins captain Sidney Crosby, who didn't record a shot in the first two periods, failed to extend a career-high seven-game goal-scoring streak and an 11-game run of 12 goals and 22 points during that span. Crosby, with seven goals and 12 points in the previous four games, also came in with a nine-game home goal-scoring streak, second in team history behind Mario Lemieux's 11 straight in 1995-96.
Marc-Andre Fleury made 19 saves for the Penguins, whose six-game home win streak ended. Pittsburgh, unbeaten in its last 10 at home, last lost a regulation home game against Carolina on Dec. 19. The Penguins previously won six of seven with points in 16 of their last 20 games.
Moore gave the Rangers a 2-0 lead early in the third period, snapping a sharp wrist shot over Fleury's shoulder during a 2-on-1.
Fast capped the scoring with an empty-net goal with 1:31 left.
It was the first time the teams played each other since the 2015 Eastern Conference quarterfinals, when Lundqvist allowed just one goal in all four wins as the Rangers won the best-of-seven series in five games.
Crosby and the Penguins entered as one of the hottest teams in the league, averaging close to five goals during a six-game home winning streak, including a six-goal outburst against Anaheim on Monday. But the Rangers slowed the pace and shut down the high-powered Penguins as Wednesday's game carried a low-scoring, playoff feel similar to last season's five-game series.
Both teams were without top players Wednesday as the Rangers missed captain Ryan McDonagh and Rick Nash, while Evgeni Malkin sat out for Pittsburgh.
Malkin, who will not travel for weekend road games at Carolina and Florida, missed his fourth straight game with a lower-body injury.
Nash, who hasn't played since Jan. 22, missed his seventh straight game with a bone bruise in his left leg. McDonagh missed his second game since sustaining a concussion following a punch by Wayne Simmonds during the weekend against Philadelphia.
Hayes opened the scoring midway through the first period, putting the rebound of Tanner Glass' shot past an out-of-position Fleury.
Conor Sheary had the Penguins' best chance to tie it early in the second period when he split the defense, but he hit the crossbar to the left of Lundqvist.
NOTES: Penguins D Trevor Daley left in the first period and did not return. ... Lundqvist tied Mike Richter for most career appearances by a goaltender in team history. ... Rangers D Dan Boyle passed Mark Messier and Steve Vickers for 11th on the team's all-time games played list. ... Both teams are back in action Friday. Pittsburgh will visit Carolina, while the Rangers host Los Angeles.