"I think we get better every day," said Seguin, who had two goals and two assists.
"We're becoming good friends off the ice and I think that's only going to translate to good things on the ice."
The addition of center Rich Peverly also clicked as he assisted on Seguin's first goal.
Seguin, the No. 2 overall pick in the 2010 NHL draft, came into Friday night's game with only one assist this season in the two games Dallas had played. But the team was well rested after its last home game Saturday and Seguin seemed to respond.
Alex Chiasson also scored for Dallas.
Blake Wheeler scored for Winnipeg, which has lost three in a row after starting the season 2-0.
The Stars haven't made the playoffs since 2008, and are hoping to change their fortunes under new coach Lindy Ruff.
They're looking for some of the magic that got them to the playoffs every season but one in their first 14. They won the Stanley Cup at the end of the 1998-99 season.
Benn, named team captain last month, was drafted by the Stars in 2007 and was signed early this year to a five-year $26.25 million contract
"Through training camp, preseason, I feel like every day with practices we're getting to know one another and we bring two different games to the table," Seguin said.
"It was our first game with Rich Peverly and I thought we jelled pretty well together," Benn said. "We tried to get some shots early and were fortunate enough to get a couple of goals and just kept rolling from there."
The Jets did two things they've been trying to do all season, win the faceoff battle and not get outshot, but still came up short. They won 40 of 64 faceoffs and outshot the Stars 44-31.
But playing back-to-back games, they started slower and let Dallas grab a 3-0 lead by the end of the first period.
"We're five games in and it's still very early and we know what we have in this room," Jets forward Evander Kane said.
"I don't think we're panicking. It's just frustrating. ... We got a lot of shots at the net tonight but we weren't able to get the quality scoring chances."
They put on some of their best pressure in the third period, when Wheeler scored his first goal of the season on a power play.
Coach Claude Noel said mistakes in the first period ended up in the net.
"We can't make those kind of mistakes and expect that our goaltending's going to save us like it has in the previous games," he said. "We should have been smarter and we should have been better in those areas."
There were, however, positives as he juggled lines through the game.
"We just played with a lot more vim and vigor if you will. If we had a game like last night again tonight that would really be a big concern of mine because we really were empty last night," Noel said. "We had no emotion in the game."
In the first period, Winnipeg won the faceoff battle 15-9, a weak spot in their game recently, but were outshot 15-11 and made costly positional errors.
The Jets had their best chance to score on a four-minute power play just over five minutes in, when Valeri Nichushkin's stick sent Dustin Byfuglien to the Jets' dressing room briefly for a cut to his face.
But they lost the last minute of the power-play opportunity when Byfuglien's partner Toby Enstrom was sent off for hooking.
The Stars made good on their minute with an extra man when Seguin set up Chiasson, who stuffed one under Ondrej Pavelec's pads and Seguin slapped in a drop pass from Peverly a few minutes later.
Benn finished the scoring in the first by tucking Brendon Dillon's rebound behind Pavelec's back at 16:35.
Seguin opened the scoring in the second to make it 4-0 when he slapped one into the net from the right faceoff circle, after both Winnipeg and Dallas had failed to connect on power-play chances.
Wheeler finally beat Ellis at the 5:35 mark of the third when he slipped in a rebound from Byfuglien's slap shot on a power play.
Despite the time off getting his cut attended to, Byfuglien played a team high 24:41 minutes.
Friday night's game was the fifth in a row in which the Jets have scored a power-play goal, including a five-on-three Thursday night in St. Paul. They failed to score on a five-on-three last season and had the worst power-play percentage in the NHL.