Paul Stastny added two assists, and Peter Budaj made 11 saves for Colorado, which has won all four games against Edmonton this season and is 8-1-1 in the last 10 meetings between the Northwest Division rivals.
"We were just running in circles out there, turning the pucks over and they were jumping all over us," Edmonton forward Kyle Brodziak said. "They were ready to play and we weren't."
It showed. Hejduk and Brett Clark scored 25 seconds apart in the first period and the Avalanche outshot the Oilers 17-3 in the first 20 minutes. Hejduk scored off Jaroslav Hlinka's pass 4:14 into the game, and before the home crowd finished celebrating, Hejduk fed Clark in the slot, and the defenseman beat Dwayne Roloson with a one-timer.
"We scored some goals early and pretty much had control of the whole game," Hejduk said. "We worked harder than in the previous games, and we pressed the puck hard in their zone."
Sakic made it 3-0 with a power-play goal at 8:45 mark of the second. Six minutes later, Sakic fed Wojtek Wolski in the middle, and his wrister gave Colorado a 4-0 lead.
"The games have been a lot closer than tonight's game," Edmonton coach Craig MacTavish said. "We looked like a very bad hockey team for two periods."
Roloson had 32 saves before being pulled after the second period.
"I thought we had a real good game. It was one of the better ones we played," Avalanche head coach Joel Quenneville said. "We got a contribution from all the lines and we generated good offense tonight."
Raffi Torres spoiled Budaj's shutout bid when he stuffed in a rebound with 11:45 left in the game. Shawn Horcoff made it interesting when he deflected Denis Grebeshkov's shot past Budaj with 5:49 left.
It wasn't enough to overcome a poor start.
"We can't wait until we're down 4-0. We have to do a better job of being ready to go," Horcoff said. "We gave them quality, quality scoring chances right in the slot. We were lucky to be down 2-0 after the first."
Roloson's teammates said he was the reason they weren't down by more than four goals, but the goaltender felt he could have played better.
"I don't look at it that way," he said. "I look at the chances they got by me. I needed to keep us in the game."
Brodziak could have made it a 2-1 game with 7:10 left in the first period, but he hit the crossbar with a wide-open net in front of him.
"I made a bad shot," Brodziak said. "Just a stupid play, one I wish I could have back. I know I should have buried it. That was a play that could have changed the game around."
Things didn't get much better for the Oilers in the second. Colorado had the first 10 shots in the middle frame and held a 36-9 shot advantage entering the third period. They outshot the Oilers 43-13 overall.
"You stay ready no matter how many shots you face, and its obviously a much easier game when you are playing as well as we did tonight," Budaj said.
The win was the 500th regular-season victory for the Avalanche since moving to Denver in 1995. ... Quenneville earned his 100th victory as the Avalanche coach. He has 407 wins overall. ... Colorado's Andrew Brunette has played in 394 straight games, the third longest active streak in the NHL. ... Edmonton's Ales Hemsky and Torres played in their 300th NHL games.