The Oilers made it 5-0 5 minutes into the middle duration as Sheahan got his 3rd assist of the video game, taking a puck and sending it to Nygard, who scored on a long shot.
Arizona reacted shortly later on as Hall scored his 13th of the year, beating Oilers goalie Mike Smith through a screen.
The Coyotes got another one back 9 minutes into the second when Dvorak broke in a rebound on the power play.
A burst of speed by McDavid with 4 minutes left in the 2nd allowed him to deflect an Archibald pass into the internet for his second of the game and 27th goal of the season
Arizona made it 6-3 with a power play goal 11 minutes into the 3rd as Ekman-Larsson chose the leading corner.
The Coyotes pulled their goalie early and the Oilers capitalized with simply under four minutes left on an objective by Sheahan, giving him his first profession four-point video game.
Both teams are now taking extended 10-day breaks till Jan. 29, when the Oilers will host the Calgary Flames and the Coyotes will take a trip to Anaheim to deal with the Ducks.
The Edmonton Oilers will be going into a 10-day break with their heads held high.
Taylor Hall, Christian Dvorak and Oliver Ekman-Larsson reacted for the Coyotes (26-20-5) who have lost 5 of their last 6.
"I thought we came out sluggish from the start and allowed a couple bad objectives, things like that," Ekman-Larsson said. "Obviously, we've been having a hard time a little bit when we don't feel 100 percent and do not have our legs, but we've got to discover a method to remain in games and find methods to get points out of it. It's a difficult one. They wanted it a bit more today."
The Oilers had an excellent start to the contest as Archibald was sprung on a shorthanded breakaway 4 minutes into the first period and sent his sixth of the season through the legs of Coyotes goalie Antti Raanta, who was making his return after missing the previous 3 games with a lower-body injury.
Edmonton made it 2-0 with 6 minutes left when Sheahan hooked a puck from behind the net to Gagner, who banked a shot from in tight at the side of the web off of Raanta's skate and in for simply his second goal of the season.
The Oilers added to their lead with four minutes left in the very first as Raanta accidently nudged the puck into his own web throughout a frenzied scramble, with the goal credited to Yamamoto.
Edmonton kept concerning start the second duration with a power-play goal one minute into it when McDavid snuck a shot past the Arizona netminder.