Heatley and Setoguchi, acquired in separate trades from the San Jose Sharks during the off-season, paid immediate dividends in the season opener for Minnesota.
Matt Cullen and Marco Scandella also scored and Mike Yeo was handed a win in his first game as an NHL head coach for the Wild.
Niklas Backstrom made 29 saves for Minnesota.
The Blue Jackets got goals from Derek Dorsett and Maksim Mayorov as they fell to 0-2-0 to start the season.
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