Lundqvist made 30 saves in shutting out the Red Wings for the second time this season, as New York completed a three-game season-series sweep of its Original Six rival. The Swedish goalie is one win shy of tying Mike Richter's franchise record of 301. He caught Rangers great Ed Giacomin for the club mark in shutouts.
Lundqvist was serenaded by the crowd with chants of ''Hen-rik, Hen-rik'' in the game's final minute.
Brian Boyle scored in the first period and Chris Kreider had two third-period goals for the Rangers, who won their second straight after an 0-2-1 skid and moved into second place in the Metropolitan Division - one point ahead of Philadelphia.
In his first shootout since his memorable Olympic performance against Russia, Oshie beat Ilya Bryzgalov through the five-hole in the first round. Steen sealed the win in the following round after the Blues' Brian Elliott turned away Zach Parise and Mikko Koivu.