After the Kings opened the scoring on Matt Greene's goal late in the first period, the Jets ran off four straight to remain unbeaten in their two games this season. Los Angeles dropped to 1-1.
Winnipeg had only a 2-1 lead going into the third before Kane scored his second goal of the contest on the power play just 2:21 into the final stanza. Setoguchi produced his goal less than three minutes later.
Bryan Little, however, scored into an empty net with 49 seconds to play to clinch the victory.
Winnipeg drove starting goaltender Jonathan Quick out of the game in the third period after Setoguchi's goal. Quick was beaten four times on 27 shots.
Ondrej Pavelec stopped 33 shots to pick up the win.