Neither of the quarterbacks who had been expected to lead the two teams played Thursday.
Quan Cosby returned the first punt of the game 49 yards for a touchdown to give the Bengals the early lead, but Gado scored twice before the first period was out to put the Rams in front for good.
He ran 16 yards for a touchdown at the end of a 71-yard drive with 5:36 to go in the opening period and then caught a 2-yard scoring pass from Kyle Boller after Cincinnati quarterback J.T. O'Sullivan fumbled the ball away on his own 20.
Boller completed 14-of-20 passes for 96 yards, and O'Sullivan went 7-of-13 for 94 yards.
St. Louis added a second-quarter touchdown on a 73-yard fumble return by James Butler.
With one game left in the preseason, the Rams are 2-1 and the Bengals 1-2.