Ales Hemsky also scored in the shootout while Sam Gagner, Alexandre Giroux and Colin McDonald had the goals in regulation for the Oilers, who are 4-0 in the exhibition.
Lee Stempniak, Kyle Turris and Scottie Upshall scored for the Coyotes, who dropped to 4-1-1.
Edmonton looked to win the game in regulation with a late 3-2 lead.
But the Coyotes sent the game to overtime with 1:33 left when Upshall poked the puck past Martin Gerber while sliding in on net after being hauled down.
The Coyotes depart for Europe this weekend where they will next play an exhibition game in Riga, Latvia, before moving on to Prague in the Czech Republic to start the regular season against the Boston Bruins.