The Blues won the Central Division last season, but the Predators won the season series 4-1-1 with three of those games going to a shootout.
This time, the Blues had the only goals in a shootout that lasted only two rounds. Brian Elliott, who came off the bench in the second, stopped Craig Smith and Martin Erat to get the win.
Rookie Vladimir Tarasenko had a goal and two assists for St. Louis. Andy McDonald had a power-play goal and an assist, Alex Pietrangelo's goal tied it up in the third period, and Kevin Shattenkirk had two assists.
Patric Hornqvist had a goal and two assists for Nashville. Mike Fisher had a goal and an assist, Colin Wilson a goal and Erat two assists.
Oshie scored first with a backhander over Nashville's Pekka Rinne. After Elliott stopped Erat at the front of the crease, Steen skated up and squeezed the puck between the post and Rinne's outstretched skate.
Rinne made sure the Predators at least got to the shootout. He stopped a shot from Pietrangelo from the slot, then stopped another by Oshie off the rebound laying down on his back at the post inside the final minute of overtime.
The Predators opened the season with a 3-2 shootout loss to Columbus. Now they visit Minnesota on Tuesday to start a seven-game road trip that will be their longest in this lockout-shortened season and won't play again in Nashville until Feb. 7.
St. Louis, which plays at Chicago on Tuesday night, picked up where the Blues left off in their 6-0 opening rout of Detroit, outshooting Nashville 39-24 through overtime. They started strong too with an early 6-3 edge in the first period.
But Wilson, who signed a three-year contract before the lockout, scored on the Predators' fourth shot. Defenseman Ryan Ellis started the play, passing the puck to Patric Hornqvist, who found Wilson skating up ice. Wilson beat Halak with a wrister just inside the left circle at 9:10 of the first.
Tarasenko, who scored two goals in his NHL debut, remained just as active against Nashville. He scored on a wrister from the right circle at 10:28 on assists from McDonald and Shattenkirk. Later in the period, David Legwand hooked the rookie as Tarasenko tried to score on Rinne, giving the Blues a power play in the first.
So with the man advantage, Tarasenko found McDonald in the slot with the puck, and McDonald scored with a wrister at 15:04 for a 2-1 lead. That lasted only until David Perron went to the box for slashing, and Fisher scored his first on the power play beating Halak to the gloveside at 17:13.
Nashville had more shots in the second, but the Predators needed the man advantage on an interference penalty on Shattenkirk to take a 3-2 lead.
Hornqvist took a pass from Erat, and his backhander slipped between Halak's body and his right arm stick-side at 12:53. That was Nashville's third goal on 11 shots, and Blues coach Ken Hitchcock had seen enough. He yanked Halak and put in Elliott.
This game appeared headed for extra time even with Nashville holding a lead in the third. Nashville and St. Louis have gone past overtime 12 times, including three games last season, with the Predators holding an 8-4 edge. Pietrangelo scored with a wrister at 12:10 to tie it.
Notes: Barrett Jackson played his 600th career NHL game, all with St. Louis. He ranks ninth in club history in games played and fourth among defensemen. Only Bob Plager, Barclay Plager and Al MacInnis have played more for the Blues. ... Forward Rich Clune made his debut with Nashville. ... Hornqvist has scored three points now nine times, the last on Nov. 9, 2011, at Anaheim with three assists.