Ilya Kovalchuk scored a tie-breaking goal early in the third period and set up Vyacheslav Kozlov's two power-play scores. Kovalchuk connected on a breakaway at 3:51 of the third to snap a one-all tie, as Atlanta handed Chicago its third straight loss.
After losing their first six games this season, the Thrashers are 3-2 in their last five.
"You need your best players to be your stars and they were tonight," Thrashers general manager and interim coach Don Waddell said.
Added goalie Johan Hedberg: "We have some real dynamic players on our team and it's good for us to get them going."
Hedberg finished with 29 saves in a strong effort.
Although Kovalchuk and Kozlov scored in the third period to give Atlanta a 3-1 lead, the Thrashers had to hold on and played the final 2:15 short-handed.
Chicago's Patrick Kane, the NHL's first overall draft pick last summer, scored a power-play goal in the second period. Jason Williams connected during a power play with 1:09 left to cut it to 3-2 and set up Kane's goal.
"We're going through some tough times now," Kovalchuk said. "Even tonight, we're up 3-1 and took unnecessary penalties. They almost tied the game.
"We're in pretty good shape. If we want to turn our season around, we have to work hard every night."
Chicago rookie Jonathan Toews also assisted on Kane's goal to extend his point streak to nine games. Toews, who missed Chicago's first two games with a broken finger, has a point in each contest he's played so far.
Lalime blocked 19 shots.
"I think we took it to them pretty hard tonight, actually," Kane said. "We've got to finish our chances.
"I guess that's just bad bounces," he added. "Maybe we can get a lucky one, a rebound of something."
Chicago coach Denis Savard agreed.
"We played a strong game," Savard said. "We're snake-bit right now. We missed some great opportunities."
Kozlov deflected Kovalchuk's shot from the top of the left circle and past Lalime during a five-on-three Atlanta advantage at 10:06 of the first period to open the scoring.
Kane's power-play goal at 5:08 of the second tied it at one. He beat Hedberg on the short side with a shot from the right circle after taking Williams' cross-ice pass.
Kovalchuk converted a breakaway at 3:51 of the third to give Atlanta a 2-1 lead. Following a Chicago turnover and feed from Darren Haydar, he broke in alone down right wing from centre ice and beat Lalime with a shot between the legs.
Kozlov made it 3-1 at 7:53. Kovalchuk picked off a pass at the right point off the Chicago zone, then fed it to Kozlov who was alone in front of Lalime.
Williams scored a power-play goal through a screen with Lalime on the bench for an extra attacker with 1:09 left to complete the scoring.
Notes: Chicago LW Dave Koci missed his first game on injured reserve with a broken nose. Blackhawks D Andrei Zyuzin sat out with a pulled hip muscle. ... Chicago recalled C Dave Bolland from Rockford of the AHL for Saturday's game. ... Atlanta G Kari Lehtonen missed his fourth game with a groin strain. ... Chicago's healthy scratches were LW Sergei Samsonov and D Danny Richmond. Atlanta's were D Steve McCarthy, LW Pascal Dupuis and LW Brett Sterling.