Thompson, whose goal stood as the game-winner, was honored before the game with Vegas center Jack Eichel and defenseman Noah Hanifin, and Buffalo massage therapist Brett Compton.
Jason Zucker and Owen Power scored for the Sabres (36-19-6), who played their first three games out of the break on the road. Alex Lyon made 27 saves.
Ivan Barbashev and Pavel Dorofeyev scored, and Akira Schmid made 25 saves for the Golden Knights (28-19-14), who have lost three straight.
Zucker gave Buffalo a 1-0 lead at 4:02 of the first period when Ryan McLeod’s attempt at a cross-ice pass deflected off Jack Eichel’s skate to Zucker at the right post.
Power scored 46 seconds into the second period to make it 2-0, taking the puck off a face-off win by Noah Ostlund and walking to the middle of the blue line for a fluttering wrist shot that beat Schmid over his glove.
Thompson received a backhand pass from Alex Tuch at the right circle and beat Schmid bar down blocker side to push it to 3-0 at 5:44.
When Lyon went to his left for a save, Barbashev collected the rebound and scored on a wraparound at the opposite post, with the puck deflecting in off Lyon’s pad at 6:50 to cut it to 3-1.
Dorofeyev scored on a breakaway to narrow it to 3-2 at 8:27. He got to a loose puck at the Vegas blue line and beat Lyon five-hole.
