Hejduk scored two of Colorado's four goals in the second period of a 7-1 victory that was the Oilers' sixth straight loss.
"It definitely helps when you score two goals on your first game back," said Hejduk, a 29-year-old native of the Czech Republic who missed the entire preseason and first six games of the regular season following surgery on his right knee.
Avalanche coach Joel Quenneville called Hejduk a "tricky player."
"He upgrades the whole team," he said.
Edmonton goalie Jussi Markkanen gave up three goals on 13 shots before being lifted. Ty Conklin, his replacement, allowed four goals on 11 shots in the second period, forcing Markkanen back in the game for the final 20 minutes.
There was a chorus of boos from the sellout crowd of 16,839 at Rexall Place.
"I am numb," Edmonton coach Craig MacTavish said. "The plays we were making were tragic to comical."
John-Michael Liles had two of Colorado's three goals in the first period when the Oilers allowed a season-high 16 shots.
"That first period was the best we played all year," Quenneville said. "So many things across the board are what we are looking for."
David Aebischer made 21 saves for his second win.
After failing to score on a 1:32 two-man advantage in the third period, Ethan Moreau broke Aebischer's shutout bid with a goal at 9:11.
The Oilers finished 1-for-6 on the power play to slide to 2-for-37 in their last six games. Colorado finished 3-for-8 with the man advantage.
Oilers forward Ryan Smyth returned for spot duty after missing six games with a sprained left knee.
Smyth said the team is in a big funk after starting the season 3-0.
"We were embarrassed," Smyth said. "We need to simplify things and get back to the basics of hockey. "We've got to stop the bleeding."
- The Oilers sold out their October home games for the first time in 21 seasons.
- Edmonton, which beat the Avalanche 4-3 on opening night, lost 7-0 at home to Chicago on Feb. 1, 1995.