Marcus Keene gave Youngstown (6-4) a 15-point lead on a 3-pointer with 11:21 left, but South Dakota (3-6) rallied back to 73-70 with 2:51 to go.
Youngstown tried to pull away, but the Coyotes stayed within three points three more times, the last coming at 82-79 on Trey Norris' three-point play with 33 seconds left. The Penguins made 5 of 6 free throws from there to secure the win.
Keene made 4 of 6 3-pointers and finished with 18 points and Jason Plummer added 11 points for Youngstown.
Tyler Larson led the Coyotes with 21 points, and Casey Kasperbauer and Brandon Bos added 18 points. The three of them combined to shoot 12 of 20 from 3-point range.