Carl Hagelin and Chris Kreider scored for visiting New York, which dominated for two periods, then held on late to take a 2-1 series lead.
Game 4 is Wednesday in Pittsburgh.
Patric Hornqvist scored his third career playoff goal for the Penguins, but Pittsburgh couldn't overcome another slow start. Marc-Andre Fleury made 24 saves.
The Rangers led the NHL in road wins during the regular season.
The Rangers overwhelmed the Penguins in the opening minutes, and Hagelin gave New York a 1-0 lead at 8:43 following a sloppy line change by the Penguins and a brilliant lead pass from Keith Yandle that split the Pittsburgh defense and let Hagelin break in alone on Fleury.
The slap shot from between the circles went between Fleury's legs as the Rangers did their best to silence a surprisingly raucous crowd at Consol Energy Center.
Not that the Penguins did much to generate any sort of enthusiasm.
Pittsburgh needed 15 minutes to record its first shot, a harmless flip from behind the blue line by defenseman Ben Lovejoy.
at Minnesota 3, St. Louis 0: Devan Dubnyk made 17 saves and Jason Pominville and Zach Parise scored second-period goals as the Wild took a 2-1 lead in the Western Conference series. Mikael Granlund had two assists, Nino Niederreiter added an empty-net goal, and Minnesota had the edge in every way, without being drawn into a single trip to the penalty box.
The Blues' Jake Allen stopped 21 shots, with the over-capacity crowd taunting him with chants of his last name throughout the game. St. Louis lost on the road in the playoffs for the ninth straight time.
Game 4 is in Minnesota on Wednesday. After that, the series shifts south to St. Louis on Friday for Game 5. After getting a hat trick in the Game 2 victory at home for the Blues on Saturday, Vladimir Tarasenko was held without a shot on goal, just as he was in Game 1. The intensity between these similarly constructed Central Division opponents has been palpable, sure to heighten the rivalry once it resumes again next season.