Pascal Dupuis scored twice and Tomas Vokoun blanked the listless Jets on all 20 shots he faced, completing his fourth straight perfect period of hockey and the Penguins' second-consecutive shutout win.
The win was the 14th-straight for Pittsburgh (27-8-0, 54 points), which has now vaulted out to a comical lead in the Atlantic Division (where no other team has 40 points) and has surpassed Boston, Montreal and Chicago for the top spots in the Eastern Conference and NHL.
Murray, a penalty kill specialist whose 6'3", 240 frame often provides smooth sailing for his goalie, was part of the Penguins' 4-for-4 effort on the PK.
And, don't look now, but a Pens squad that previously couldn't keep a soccer ball out of their net has allowed just nine goals in their last 10 games.
Vokoun was the latest beneficiary of the team's total commitment to defensive responsibility, facing just 20 mostly-harmless shots from Winnipeg.
After having been as bad as 21st in goals against earlier in the streak, the Penguins are now 7th in the NHL in goals allowed per game.
Following on Tuesday's combined shutout (in which Fleury was pulled in the third period due to a neck injury), Vokoun gave the Pens their second back-to-back shutout games in franchise history, and first since Ken Wregget and Tom Barrasso combined to turn the trick in the '90s.
The Pens have won three of their last seven with shutouts after having just one through the first 28 games of the season.
Winnipeg, which had points in seven of 10 coming into the match, couldn't get one by Vokoun, though they maintained their lead in the Southeast with Carolina dropping its match to the Maple Leafs.
The Jets (formerly the Thrashers) haven't won in Pittsburgh since 2006.
With Letang and Fleury seated due to injuries and Jarome Iginla not expected to join the team until this weekend or early next week, the Penguins fielded a still-incomplete roster that nonetheless looked like a world-beater.
Much of the NHL conversation in recent weeks has been on the Penguins' apparent path to the Finals, which was bolstered with Shero's acquisitions of Murray, Brenden Morrow and Jarome Iginla.
The real test of Shero's team will come when they're asked to escape the first round of the playoffs, something they haven't done since 2010.
However, if the Penguins can ignore their old tendencies towards erratic defense, they'll be in fine shape by the time the regular season runs out.