The Rangers are now in a big hole after losing their third straight game of the Stanley Cup Final.
The Blueshirts, playing in Madison Square Garden for the first time in the series, played the Los Angeles Kings even for nearly the entire first period, but L.A. took the lead on a goal by Jeff Carter with less than a second remaining.
It was the first time in the series that the Kings had a lead, after winning the first two games in overtime.
The Kings would go on to score two more goals in the second period, while the Blueshirts couldn't get anything past Los Angeles goalie Jonathan Quick.
Quick stopped all 32 shots the Rangers threw at him, leading the Kings to a 3-0 win and a 3-0 lead in the best-of-seven series.
Only four teams in NHL history have come back from a three games to none deficit to win a series.
The last to do it was the Kings, who did it in the first round of this year's playoffs.
Game 4 will be Wednesday night at Madison Square Garden.