Steen, Berglund and McDonald scored in the first period to give St. Louis a 3-0 lead. St. Louis, which had just one power-play goal in its first four exhibition games, was 3 for 4 with the man advantage.
"We just tried to emphasize getting our shot-based power play and getting shots through," said Erik Johnson, who joined Paul Kariya at the point on the power play. "We felt pretty good, but there's still room for improvement."
McDonald scored his second power play goal midway through the second period, banking a shot off the skate of Minnesota's Jamie Sifers past Niklas Backstrom, who had little chance on any of the St. Louis goals.
"This was the first time that we've had all our power play people on the ice in one game. We've worked on that the last couple days so that's really nice to see," coach Andy Murray said. "We should have scored on the fourth one, too."
Eric Belanger scored on the power play with 2:45 remaining for Minnesota (2-3-0), which was playing without four forwards from its projected regular-season lineup.
Minnesota was 1 for 6 on the power play.
"I didn't think our compete factor was there for a good portion of the game," Minnesota coach Todd Richards said. "We had some guys whose levels were too low, and I know there's more there."
Chris Mason stopped 10 shots and Ty Conklin seven for St. Louis, which plays Saturday in Dallas and then heads to Sweden for its final exhibition game Tuesday, followed by a season-opening two games with Detroit on Oct. 2/3 in Stockholm.