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.
Kate Middleton recycles dress at movie premiere
Gal Gadot cast as Wonder Woman for 'Batman vs. Superman'