(AP) -- Matt Cullen beat Henrik Lundqvist on a semi-breakaway after beating two defensemen early in the third period and the Pittsburgh Penguins spoiled the return of Rangers captain Ryan McDonagh with a 3-1 win in Game 3 of their first-round series on Tuesday night.

Sidney Crosby also scored and Matt Murray made 16 saves in his return to action in helping the Penguins take a 2-1 lead in the best-of-7 series.

Game 4 is Thursday night in New York. The Rangers have lost four consecutive playoff games at Madison Square Garden going back to last season's Eastern Conference final against Tampa Bay.

Kris Letang iced the game with an empty-net goal.

Rick Nash scored for the Rangers, who played without an injured McDonagh (upper body, hand) in the first two games in Pittsburgh. Lundqvist made 28 saves, giving up a power-play goal to Crosby and a one-on-one chance to Cullen.

This was a game in which the Rangers seemed to lose momentum after a first-period goal by Chris Kreider was nullified because of an offside call after a challenge.

Nash still gave New York the lead early in the second period, but the Penguins seemed to take control when Crosby tied the game late in the second on a power play.

Cullen's game-winner was as much a good play by him and a bad one by defensemen Keith Yandle and Dan Boyle.

Cullen took a pass and entered the Rangers zone. Yandle and Boyle converged on him and ran into each other.

That gave Cullen a clear path to Lundqvist and he beat the goaltender between the pads at 4:16 for a 2-1 lead.

Pittsburgh went into a defensive posture at that point and shut the Rangers down.

Nash staked the Rangers to a 1-0 lead in the opening minute of the second period with a short-handed goal and Crosby tied it in the final minute of the period with a power-play goal.

Nash took a pass from Kevin Klein near the Penguins' blue line, skated into the left circle and beat Murray with shot to the top corner 39 seconds into the period.

The goal snapped New York's scoreless playoff drought at home at 166 minutes, 22 seconds, dating to Game 2 of the Eastern Conference finals against Tampa Bay last season. The Lightning shut out New York in Games 5 and 7 to win the series.

Murray had missed the first two games of the series after being involved in a collision in a game against Philadelphia on the final weekend of the regular season. With Marc-Andre Fleury sidelined with a concussion, Jeff Zatkoff started the first two games.

Crosby got his second goal of the series after Marc Staal took a hooking penalty with a minute left in the period. The Penguins needed 18 seconds to convert, with Crosby redirecting Phil Kessel's attempt into the net from about two feet away.

An offside review prevented the Rangers from taking a 1-0 lead with a little more than seven minutes left in the first period. Kreider put in his rebound with the Rangers on a power play, but the video showed that J.T. Miller entered the zone a split second before the puck and the goal was waved off.

The Rangers had more than three minutes remaining on a double minor to Conor Sheary and the reversal took the air out of them and the crowd at Madison Square Garden.

NOTES: With McDonagh back, Dylan McIlrath was scratched. ... Crosby and Malkin each played in their 103rd playoff game, tying Kevin Stevens for third in team history. ... Nash's goal was his first short-handed in the playoffs. ... Crosby's goal was his 45th in the playoffs, one shy of tying Stevens for third place on the team's all-time list.