McDonald's goal was the only one of the shootout and gave the Blues their first road victory in five tries.
He came within a second of equaling the St. Louis record for fastest goal at the start of a game.
The only goal for Nashville came from Jerred Smithson 22 seconds into the middle period.
After McDonald slid a backhander under Pekka Rinne to begin the fifth shootout round, Sergei Kostitsyn hit a post with his attempt.
Jaroslav Halak made 29 saves to get the win.
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