Rangers goaltender Henrik Lundqvist and defenseman Neal Pionk react as...

Rangers goaltender Henrik Lundqvist and defenseman Neal Pionk react as Golden Knights left wing Tomas Nosek and his teammates celebrate a goal by left wing William Carrier (28) in the second period of a game at Madison Square Garden on Sunday. Credit: Kathleen Malone-Van Dyke

If the Rangers felt awful about blowing a three-goal lead Friday night in their overtime loss to Arizona, they could take solace in knowing that their opponent Sunday afternoon, the Vegas Golden Knights, had done the same thing Friday night in their last game, coughing up a three-goal lead before losing in overtime to the Devils.

“We’re going to find out which team is mentally tougher and can overcome what happened to us in the previous game,’’ Rangers coach David Quinn said before the game.

Well, Vegas proved to be much tougher than the Rangers. The Golden Knights overcame an early deficit and a herculean performance by Rangers goaltender Henrik Lundqvist for a 4-3 overtime victory at Madison Square Garden, with Alex Tuch scoring at 2:11 of the extra period.

It was a dominant performance throughout by Vegas, which lost to Washington in the Stanley Cup Final last season in its first year of existence. The only reason the Rangers earned a point was because Lundqvist was magnificent in making 37 saves, many of them spectacular.

“Ridiculous how good he was in the first two periods, because those are as bad a two bad periods as we’ve played all year,’’ Quinn said. “I mean, they outhit us, they outskated us, outpassed us, outshot us — out-everythinged us — other than goaltending.

“Without [Lundqvist], we have zero chance to have a good third period,’’ Quinn said. “You can’t play [just] 20 minutes.’’

“That’s his point,’’ forward Mats Zuccarello said of Lundqvist. “Today, we were not there. We gave them too-easy chances, and he was there.’’

The Rangers actually got off to a flying start as Brady Skjei scored 1:13 into the game, driving to the net and finishing a pretty two-on-one feed from Pavel Buchnevich, who was playing his second game since his return from a broken thumb.

But Reilly Smith, the brother of Rangers defenseman Brendan Smith, scored at 11:40 to tie it at 1. Paul Stastny, playing his second game since returning from missing 29 games with a knee injury, scored his first goal of the season at 6:09 of the second period to put Vegas up 2-1.

At that point, it could have been much, much worse for the Rangers if Lundqvist had not been in remarkable form. He made impossible, unbelievable saves, one after the other, to keep them in the game until Mika Zibanejad tied it with a power-play goal at 12:10 of the second period.

William Carrier’s goal 1:02 after Zibanejad’s put the Golden Knights in front 3-2 after two periods.

“It’s one thing to lose when you’re ready, when you play hard, but I think in the first two periods, it’s not the way we need to play,’’ said Lundqvist, who didn’t come across as angry but made it clear that the Rangers’ performance in front of him was unacceptable.

“We need to work harder. You know, mistakes are going to happen. I make mistakes; we all make mistakes. But we can’t accept not being ready to fight for one another here. I thought we were not ready. And the position we’re in, we have to battle every night. It’s not going to be great every night, but at least you’ve got to battle.’’

The Rangers did battle in the third period. Chris Kreider’s 15th goal, a wrist shot off the rush down the left wing, tied it at 3-3 at 3:29, and the Rangers generated more chances, outshooting Vegas 13-12 in the period. They had been outshot 28-17 in the first two.

But one decent period out of three was not enough to cheer Quinn up. “Yeah, we were better in the third,’’ he said. “But — that’s not good enough at this level.’’

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