Wilson entered the zone on the rush, with McDavid trailing him, in the second period. Wilson quickly stopped and spun to his left, faking out McDavid.
After the Spin-O-Rama, Wilson fired a hard back-hand shot at the net, beating Oilers goalie Mikko Koskinen on his blocker side.
The Avalanche, behind Wilson's spectacular score, built a 4-2 lead with under eight minutes left in the second period. Colorado cruised to a 6-2 win over the Oilers on Tuesday night.
Wilson's goal was his 12th of the season. He has 25 points (11 goals, 14 assists) in 62 games this season.
The Oilers are already eliminated from playoff contention. Colorado is fighting for the last wild-card spot in the Western Conference. The Avalanche lead the Arizona Coyotes by four points for the No. 8 seed in the West.
Colorado takes on the Winnipeg Jets on Thursday night, followed by a matchup against the San Jose Sharks on Saturday in its last regular-season game.