The 3.5 (23) to 2.3 (15) win on Sunday at Windy Hill leaves the Saints top on percentage. Adelaide are the only other team to win their first three games.
Serene Watson had a game-high 22 possessions for the Saints and Darcy Guttridge kicked two goals.
Essendon's Maddison Gay looks certain to be suspended for a big hit on Alice Clarke in the last term. Clarke did not appear to be badly hurt in the clash.
While the scrappy contest was tight, the Saints looked the better side for much of the game. They out-tackled Essendon 91-69 and their defence was outstanding.
Serene Watson was an attacking force for St Kilda, with 22 possessions. (Joel Carrett/AAP PHOTOS)
Lily-Rose Williamson kicked the only goal of the opening term and the Bombers led by six points.
Brooke Walker put Essendon 11 points ahead, before Guttridge kicked St Kilda's first goal at 10 minutes into the second.
St Kilda lost J'Noemi Anderson in the second quarter with a hamstring injury.
A mark and 50m penalty midway through the third gifted Guttridge her second goal, which put St Kilda in front for the first time.
They had a one-point lead at the last change, before another 50m penalty set up Ashleigh Richards for her first goal.
While Essendon defender Amber Clarke held Jesse Wardlaw goalless, the Saints star was busy in the last quarter and helped keep the ball in their attack.
The Bombers fought back and Williamson had a set shot well within range in the last couple of minutes after a 50m penalty.
But Williamson sprayed the kick and it was the last score of the game.
While in-form Bombers midfielder Georgia Nanscawen racked up 21 possessions, her star teammate Maddie Prespakis was held to 18 disposals.
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