It's been more than five years since they won in Nashville, though.
Seeking a fourth consecutive victory, Colorado tries to avoid an eighth consecutive road loss to the Predators on Saturday night.
The Avalanche (30-12-5) enter the weekend having won seven of nine, including three straight behind four goals from O'Reilly. The fifth-year forward notched his team-leading 18th goal before scoring in the shootout as Colorado beat New Jersey 2-1 on Thursday.
O'Reilly, who has 15 points in the last 16 games, has already matched his career high in goals set in 2011-12.
"Every year you get better and better, (and) you learn about the game," he told the team's official website. "This year, playing with (Matt) Duchene and Ginner (Jamie McGinn) right now, they're two really talented offensive guys. ... It's easy playing with those guys. If I keep playing smart, working hard, hopefully it works out for me."
With Thursday's result, the Avalanche matched the club record for fastest to 30 wins, set by the 2000-01 team. Colorado hasn't won four straight since a six-game run Oct. 19-Nov. 2.
"I think it's great for us confidence-wise," said coach Patrick Roy, whose team was missing seven players due to injury Thursday. "With all the injuries that we're having, it gives a chance to everyone to play more and prove something, and I think that's what our guys have been doing. These are great character wins. It could be easy for us to feel sorry when you're losing players, but it's not the case. We keep going."
Picking up another two points could prove difficult at Bridgestone Arena, where Colorado has allowed at least three goals in every game during an 0-6-1 skid. The Avalanche's last road win over the Predators was Jan. 6, 2009.
Nashville (21-21-7) has followed a 1-3-3 stretch with back-to-back wins, 4-2 over Calgary on Tuesday and 4-3 in a shootout at Philadelphia on Thursday.
"It was nice to be able to finish it off in a shootout after not being able to do that before," Weber told the NHL's official website.
Nashville is looking to tie its season high with a third straight victory, but that could be hard to come by if Colorado's Semyon Varlamov is in goal. Varlamov is 7-0-1 in his last eight starts, and he's compiled a 2.07 goals-against average during a personal 10-0-5 stretch.
His run of 15 consecutive decisions without a regulation loss is the second-longest in franchise history, one shy of Peter Budaj's 13-0-3 streak in 2007.
After making a season-high 46 saves in Tuesday's 3-2 overtime win at Chicago, Varlamov stopped 33 shots against the Devils.
"He made some great saves," Roy said. "We put a lot on our goalie and our goalie has been phenomenal."
Varlamov had a 1.99 GAA in winning three consecutive starts against the Predators before allowing five goals in a 6-4 loss Nov. 6. Nashville's Colin Wilson matched a career high with four points while Duchene finished with a season high-tying three.
Duchene has eight goals and six assists during a 12-game stretch versus Nashville. O'Reilly has just one goal in his last six in the series.
Center Paul Stastny could return after missing the last two games with a leg injury.