Winnipeg gave up eight goals earlier in the season when the Jets played on the Lightning's home ice, but Al Montoya slowed the Tampa Bay attack in this one while making 28 saves.
It was Montoya's first appearance since Feb. 12.
Eric Tangradi, traded to Winnipeg by Pittsburgh last month, scored his first goal as a member of the Jets midway through the first period. It was only the second goal of his 4-year career.
Steven Samkos tied it with his NHL-leading 18th goal of the season 6:57 into the third, but Little's wrist shot delivered the game-winner.
Tampa Bay lost for the sixth time in seven games. Anders Lindback was tagged with the setback while making 26 saves.
2014: NFL Cheerleaders [PHOTOS]
Michael Sam cut from the Dallas Cowboys