The Blues dropped to 11-30-8 with the loss. They are 0-10-2 in the second game of back-to-back contests. Dallas beat the Blues 4-3 in a shootout Wednesday night.
Trailing 3-2 at the start of the third period, Saprykin scored twice in a span of 88 seconds. He tied the game at 15:06 of the third, beating Blues goalie Curtis Sanford from inside the right circle. It was Saprykin's ninth goal.
Saprykin added a power-play goal just 1:28 later. With Trent Whitfield in the penalty box for holding, Saprykin poked his own rebound past Sanford, who was down after making the initial save.
"Mike Johnson made a great play," Saprykin said. "He got it to me. I shot it and the rebound just came right back to me. When you shoot the puck at the net, good things happen."
Saprykin's last four goals have come in the third period and have either tied or given the Coyotes the lead. Phoenix has won five of the last six games in which Saprykin has scored.
Mike Sillinger gave the Blues a 1-0 lead 6:37 into the first period when he snapped a shot past Curtis Joseph for his 21st goal of the year. Sillinger also extended his goal-scoring streak to seven games, the longest current streak in the NHL.
"I've never scored  goals in 47 games before," Sillinger said. "I've scored 20 goals three times in this league before. Am I doing something I'm not used to doing? No. Have I ever been this hot? No, I haven't."
It was the first power-play goal Phoenix had given up in its last 27 chances covering five games.
St. Louis made it 2-0 on a goal by Doug Weight just 33 seconds into the second period.
Phoenix got two quick goals midway through the second. Paul Mara
scored his career-high 11th goal at 8:57 on a rebound into an empty net after Sanford was unable to control Ladislav Nagy's shot from the left point.
The Coyotes scored again just 36 seconds later after a Blues turnover in their own end led to a two-on-one. Boyd Devereaux one-timed Saprykin's pass for his fifth goal of the season.
Sillinger scored his second power-play goal with just 3:35 remaining in the second period, giving the Blues a 3-2 lead.
Phoenix captain Shane Doan scored an empty-netter with 21.6 seconds remaining to finish the scoring.
"Our kids just battled," Gretzky said. "At the end of a road trip, to come back in the third period is a nice confidence builder for the young guys."
Sanford (5-11-4) made 27 saves while Joseph (20-13-0) made 20 saves.
The Blues' record for scoring in consecutive games is 10, which was done twice by Brett Hull. ... Blues defenseman Eric Brewer underwent surgery Thursday in Cleveland to repair his dislocated left shoulder, which he injured Jan. 13 against Atlanta in a collision with the Thrashers' Karl Stewart. Brewer is out for the season.....The Blues are now 5-14 in one-goal games. They've allowed eight empty-net goals... Doan played in the 699th game of his career. He ranks fourth on the Coyotes' all-time games-played list. ... Phoenix forward Geoff Sanderson suffered a lower body injury in the first period and did not return. He is listed as day-to-day.
Copyright by STATS LLC and The Associated Press
Arena: Scottrade Center Location: Saint Louis, Missouri
Referees: Stephane Auger Linesmen: Andy McElman, Jean Morin
Attendance: 15,271 (79.7% full)
Team Stat Comparison
Power Play Goals
Power Play Opportunities
Shots on Goal
Mike Sillinger (21)
(Power Play) Assists: Doug Weight, Dennis Wideman
Doug Weight (12)
Assists: Jamal Mayers, Dean McAmmond
Paul Mara (11)
Assists: Ladislav Nagy, Mike Johnson
Boyd Devereaux (5)
Assist: Oleg Saprykin
Mike Sillinger (22)
(Power Play) Assists: Dennis Wideman, Scott Young
Oleg Saprykin (9)
Assists: Jamie Lundmark, Paul Mara
Oleg Saprykin (10)
(Power Play) Assists: Mike Johnson, Paul Mara
Shane Doan (16)
(Power Play) (Empty Net) Assists: Mike Ricci, Ladislav Nagy