The Jets built a 3-0 lead and Al Montoya fought off his former club while making 29 saves. It was Winnipeg's second straight win, a short string of success that comes on the heels of a four-game losing streak.
Setoguchi's goal came with 3:18 to go in the second period, after which Andrew MacDonald put New York on the board with 2:11 remaining in the stanza.
John Tavares brought the Islanders within one with 5:59 left in regulation, but they went on to fall for the fourth straight time. The Islanders have lost nine of their last 11 and are one of three teams in the NHL that has yet to reach 20 points.
Kevin Poulin allowed the three goals on 29 shots.