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.
Celebrity Families of 2014 [PHOTOS]