Jaroslav Halak stopped both shots in the shootout to help the Blues to their fourth straight victory. The Thrashers lost for the first time in three games.
Nik Antropov and Rich Peverley each had a goal and an assist for the Thrashers, who played for the third time in four nights.
St. Louis, 5-0 at home, has won a franchise-record 11 straight home games, dating to last season.
The Blues rallied from a late 3-1 deficit with two goals by McClement in a span of 1:46 in the third period. McClement deflected in a shot from the point by Alex Pietrangelo to tie it with 4:25 left.
"Just happened to be in the right place at the right time a lot," McClement said. "Feels good to contribute offensively for a change."
McClement has led the NHL in ice time on the penalty kill among forwards each of the last two seasons. He seemed shocked by his newfound offensive muscle.
"I can't remember the last time I got one," he said of the hat trick, which came in his 410th NHL game. "Don't count on too many more of those, either."
St. Louis coach Davis Payne called McClement a grinder who finds a way to get into the dirty areas of the ice.
McClement had not scored in his first eight games this season and has never scored more than 12 goals in any NHL season.
The Blues have 14 points in their first nine games and are off to their best start since they opened the 2002-03 season 6-1-1. The 5-0 home start is the best since they won their first five home games in 2000.
Halak (6-1-1) bounced back from a slow start to record 19 consecutive saves, and made two stops in the shootout after giving up three goals in the first period. Peverley's goal at 8:58 ended Halak's shutout string at 160 minutes, 8 seconds. He had posted back-to-back shutouts and stopped 71 shots in a row before Peverley's goal.
"I didn't worry about what happened in the first period," Halak said. "I just came out, I just tried to go puck by puck. I was trying to keep us going the same way the whole game."
Atlanta's Ondrej Pavelec stopped 24 of the first 25 shots he faced in his return after fainting and sustaining a concussion early in the Thrashers' 4-2 season-opening win over Washington on Oct. 8.
"I was so excited to be back, couldn't wait," he said. "I tried to focus. I felt pretty good after the first couple shots."
Atlanta converted two power-play goals in the game's first 13:59 to take a 2-1 lead. Peverley popped in a rebound of a shot by Antropov for his first goal of the season.
The Blues tied it three minutes later when McClement deflected in a shot from close range by Matt D'Agostini.
But Antropov answered with his second goal of season, picking up a rebound from in front.
Atlanta's Niclas Bergfors scored with 2.7 seconds left in the opening period to push the lead to 3-1. Bergfors broke free on the right wing and slapped a shot past Halak.
"It was a good effort by out guys," Atlanta coach Craig Ramsay said. "We just kind of tired out near the end."
Oshie's career-best point streak of seven games came to an end. ... Atlanta forward Andrew Ladd had two assists and leads the Thrashers with 12 points. ... Antropov recorded his first multipoint game of the season. ... Atlanta G Chris Mason, who spent the last two seasons with the Blues, served as Pavelec's backup. Mason is 5-4-1 with 3.50 goals against average.
Copyright by STATS LLC and The Associated Press
Arena: Scottrade Center Location: Saint Louis, Missouri
Referees: Steve Kozari, Ian Walsh Linesmen: Steve Miller, Tim Nowak
Attendance: 19,150 (100.0% full)
Team Stat Comparison
Power Play Goals
Power Play Opportunities
Shots on Goal
Rich Peverley (1)
(Power Play) Assists: Nik Antropov, Andrew Ladd
Jay McClement (1)
Assists: Matt D'Agostini, Alexander Steen
Nik Antropov (2)
(Power Play) Assists: Rich Peverley, Andrew Ladd