Edmonton had the game's best early scoring chance. Both Marty Reasoner and Marc Pouliot had whacks at the puck from the crease but Ilya Bryzgalov kept the puck out..
The Coyotes had a chance late on a power play after Ladislav Smid took a tripping penalty.
Keith Yandle's shot from the left point snuck through the legs of Roloson but was cleared by Denis Grebeshkov before it crossed the line.
Moments later, Phoenix defenceman Keith Ballard took a penalty to give Edmonton their first power play.
A minute into the man advantage, Ales Hemsky rushed up ice after taking a lead pass from Joni Pitkanen. His shot beat Coyotes goaltender Ilya Bryzgalov glove side for the goal.
Midway through the first, Andrew Cogliano had the puck in the corner and fed it to Sam Gagner to the left of the slot. Gagner's high shot was smothered by Bryzgalov.
Phoenix almost tied the game several minutes later when Yandle snuck the puck past Gilbert and created an odd-man rush. He missed on the initial shot and fed the puck to Nick Boynton at the right side of the net. With the gaping cage, Boynton fanned on the shot.
Edmonton came within inches of scoring late in the period. Staios blasted a shot from the point that was stopped by Bryzgalov. Penner kicked the rebound to his stick and had an open net but his shot went off the outside of the post.
Shots on goal after one were 14-11 for Edmonton.
Phoenix struck for a power play goal four minutes into the second period. Martin Hanzal's shot off the side boards deflected off the stick of Ladislav Smid on its way to the net and was then redirected by Shane Doan, beating the Oilers goaltender through the five hole.
Joni Pitkanen scored just over three minutes later, giving the Oilers the lead once again at 2-1. Robert Nilsson faked a shot to get Bryzgalov out of position then passed it to Pitkanen in the slot. The Oilers defenceman had a wide open net and made no mistake, flipping it into the open cage.
Matt Greene had a great chance on a blast from the right point, ringing it off the crossbar behind the Phoenix goaltender.
Outstanding forechecking from Kyle Brodziak led to Edmonton's third goal. Brodziak fought off four Coyotes deep in the Phoenix end and managed to get a shot on goal. Curtis Glencross then scooped up the puck behind the net and fed it back to Zack Stortini in the high slot. Stortini's shot was tipped in front by Brodziak, making it 3-1.
The fourth line continued its impressive play. Glencross had a close shot in the final two minutes of the second period that Bryzgalov had to be sharp on to turn away.
Shots after two periods were 28 to 24 for the Oilers.
Smid made a great play early in the third to prevent a Coyotes goal. Vrbata had the open side but the Oilers blueliner swiped the puck out of harm's way.
Edmonton increased their lead to 4-1 shortly after a penalty to Fernando Pisani expired. Pisani picked up the puck right out of the box and dished it to Cogliano. He threw it to Reasoner in the slot who scored his ninth goal of the season.
With four minutes to go in the third, Roloson backhanded a pass from his crease all the way to the far blueline, sending Hemsky in on a breakaway. Hemsky rang a shot off the post on the play.
Phoenix got a goal back with 1:12 left in the third. Keith Ballard knocked down a Smid clearing attempt and slapped it on goal. Mathias Tjarnqvist then put in the rebound to make it 4-2.
Fernando Pisani added an empty netter 13 seconds later to seal the outcome.