The Rangers have captured nine of their last 10 and lead the Eastern Conference by three points over Boston.
Lundqvist gave up a goal to Ben Lovejoy 5:43 into the game and then shut down the Penguins, who have lost three in a row. It was the first goal of the season for Lovejoy and just the fourth in his 80-game career.
Brad Richards tied it with 1:43 to go in the opening period and Brandon Dubinsky put the Rangers in front with a shorthanded goal early in the second. Derek Stepan had an unassisted goal 1:20 into the third to complete the scoring.
Marc-Andre Fleury allowed the three goals on 21 shots.
New York has won both its games with Pittsburgh this season and has defeated the Penguins in four consecutive meetings.