Edmonton had tied it with just 27 seconds remaining in regulation and the goalie pulled as McDavid rifled in a puck after it caromed off the boards.
There was no scoring and few good chances in the first period, with Colorado getting 10 shots on Oilers backup Al Montoya and Edmonton putting eight shots on the Avalanche's Jonathan Bernier.
Colorado broke the deadlock three minutes into the second period when Zadorov picked off a poor Edmonton clearing attempt and proceeded to beat Montoya up high for his fourth goal of the season.
The Avalanche went up 2-0 five minutes later on a power-play blast by Girard, his first goal in 36 games with Colorado since coming over in a trade with Nashville earlier this season.
McDavid knocked in his own rebound out of the air and into the net for his 16th of the season just over a minute later.
Caggiula pushed a puck across the goal line while Bernier attempted to smother it with his glove with less than a minute to go in the second period, but a review nullified the goal.
Shortly afterward, the Avalanche got a short-handed goal on a backhand shot by Comeau.
Edmonton pulled back within one seven minutes into the third as Caggiula tipped a shot out of midair for his seventh.
It was the first of three meetings this season between the teams. ... Due to some quirks in the schedule, the Oilers had only played three games in the previous 18 days, but play 33 games in the next 66 days.