The Oilers went ahead 4-3 on a Ryan Jones deflection at 7:23 of the final period, but Phoenix roared back as the Coyotes' Rob Klinkhammer drew a pair of key Edmonton penalties.
Andrew Ference was penalized for hooking midway through the third and Yandle responded with a goal off a feed from Ekman-Larsson, who notched the go-ahead tally after Mark Arcobello was cited for high-sticking.
Mike Smith turned aside 26-of-30 shots in the victory.
Will Acton and Tyler Pitlick each scored and Jason LaBarbara made 22 saves for Edmonton.
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