It was the 12th NHL career save for Lehtonen, who had lost in five of his six previous appearances.
Scott Clemmensen allowed three goals on 19 shots in his 13th straight start before being replaced by Kevin Weekes to start the third period.
The game was scoreless after one period, but Atlanta put it away with three in the second.
Colby Armstrong gave the Thrashers the lead with a backhander 3:03 into the period. Kovalchuk scored on the power play at 5:31 and Jim Slater added a goal with 6 minutes remaining in the frame.
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