Scheifele went in alone on Arizona goalie Karel Vejmelka, rifling the puck past him to hand the last-place Coyotes their fifth straight loss (0-4-1).
Scheifele had scored a first-period goal for the Jets (32-25-10), who ended a four-game homestand with a 3-1-0 record.
Nick Ritchie had tied the game 1-1 in the third period for Arizona (20-40-5).
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The Coyotes end a three-game road trip Monday night in Edmonton.
Connor Hellebuyck made 28 saves for the Jets. Vejmelka stopped 38 shots for the Coyotes.
The Jets embark on a quick two-game road trip beginning Wednesday night in Buffalo.
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