The Jets went into the game saying it would be a good test. The Kings are one of the strongest teams in the Western Conference, where the Jets are playing this season.
Despite the slow start, the Jets were leading 4-1 in the third when the Kings rallied.
They got within one with two quick power-play goals, before Little scored into an empty net.
"We have a way of making games exciting," Jets coach Claude Noel said. "It's not something we want to get in a habit of doing."
But he saw things he liked, besides the two points in the standings.
"We had some good games from a lot of people," he said. "We started off slow again and I thought the game changed a little bit in in the second period and the third period. I thought we were quite a bit better. I thought we did some simple things."
One of those was getting shots, which didn't happen in the first, and not turning over the puck in the neutral zone.
Coach Darryl Sutter said the Kings weren't tired after two games in two nights. They beat the Minnesota Wild in a shootout Thursday.
Added Kings' forward Dwight King: "We wanted to have a good start, I think we got out to a good start, obviously we got a lot of pucks on the net. It kind of fell off a bit and they took advantage. ... We tried to fight back at the end, but it wasn't enough."
Failing to control the puck in their own zone cost both the Jets and Kings in the first period, although the Kings put on most of the pressure.
Greene was first to score at 14:17 of the first, glancing one off Dustin Byfuglien after intercepting Byfuglien's failed attempt to clear the puck from in front of the net.
But then Kane tied it up by dumping it in from the other side of the blue line, catching it on the rebound off Greene and sending it high past Jonathan Quick's glove at 15:45.
Setoguchi's linemate Mark Scheifele picked up an assist, while Setoguchi also set up a goal. The line accounted for most of the pressure and scoring chances the Jets created in the first period.
The Jets came on strong in the second.
Wheeler scored what could have been the go-ahead goal on a power play, except that the L.A. net was off its moorings. It took a call to Toronto by the officials, but the goal was disallowed.
Jokinen put the Jets ahead at 12:54 of the second when he lifted Michael Frolik's rebound high to the right side of the net as Quick went low to the left.
Noel juggled his third line Friday night, putting Jokinen between Eric Tangradi and Frolik, who scored a pair in the Jets opener in Edmonton.
Noel liked what he saw, but said he doesn't know yet how long they will stay together.
Setoguchi scored his first on a power play at 2:21 of the third period on a shot from Kane. He tallied again at 5:19 to make it 4-1 when Quick managed to stop Kane's rush and Setoguchi swept behind the net and stuffed it in the other side.
Sutter put Ben Scrivens in net. Quick stopped 23 of 27 shots.
Carter scored the Kings' second goal of the night at 11:00 of the third, a few seconds into a power play from a tripping penalty called against Jets defenseman Jacob Trouba.
The Jets were ahead on shots until the last seven minutes of the third when the Kings found new life after Carter's goal.
Williams brought the Kings within one on the power play at 15:44 when he caught the left corner of the Jets' net from the faceoff circle, but Little sealed the win with a breakaway into an empty net in the final minute.
This was only the second time the Jets have played the Kings. Their first matchup, in 2011 and also at MTS Centre, was settled in overtime when Evander Kane made it 1-0. Now that the Jets are in the Western Conference, they will meet L.A. three times.
Copyright by STATS LLC and The Associated Press
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