After Markus Naslund scored on the opening shot for New York, Miroslav Satan failed for Pittsburgh. Zherdev beat Dany Sabourin with a high backhander on the Rangers' second shootout chance, then Henrik Lundqvist stoned Kris Letang.
Fredrik Sjostrom eventually iced the game for the Blueshirts with his wrister.
Zherdev and Petr Prucha scored in regulation for the Rangers, who have won four of five. Lundqvist made 29 saves.
Mark Eaton and Jordan Staal tallied for the Penguins, who have dropped three of five. Sabourin stopped 25 shots in the loss.
In a 4-on-4 situation, the Pens got on the board with 6:04 left in the first period, as Sidney Crosby swooped around the Rangers' net from right to left before dishing in front to Eaton for a shot to the right post.
Rob Scuderi's left-point shot was tipped in the slot by Staal for a 2-0 Pittsburgh lead just prior to the midway point of the second period. However, Scott Gomez fired a slapshot which nicked Zherdev on the way in 1:21 later for a 2-1 game.
Prucha slammed home an errant shot from the right side of the crease with a little less than six minutes left in regulation to tie the game, 2-2. It was the Czech forward's first goal of the year.