Eric Tangradi had two assists for the Jets, who lost their first two preseason games over the weekend.
Mitchell Moroz and Philip Larsen scored late in the third period for the Oilers after they fell behind 3-0. Richard Bachman stopped 26 of 29 shots for Edmonton.
"We took our foot off the gas after we went up 3-0," Jets coach Claude Noel said. "We lost focus. But we saw some good things from some good players tonight."