The Kings opened the scoring 7:09 into the first as Wilson Northey batted in the loose puck past Natives goalie, Jake MacClennan as the Kings led 1-0.
Neepawa came back with two goals in the period's last eight minutes, as they took a 2-1 lead after 20.
11:19 into the second, the Natives increased their lead to 3-1, but the Kings brought it right back as Riley Shamray scored his second goal in as many games at the 12:11 mark, as the Natives led 3-2 after 40.
After successfully killing a penalty, the Kings broke out on a 3-on-1 rush 13:36 into the third, and Riese Gaber outlasted MacLennan and pocketed his 13th of the season as the game headed to OT.
A Brendan Arnold penalty gave the Natives another powerplay, and with 11 seconds left in the powerplay, Justin Metcalf came off the bench, received the puck and potted it past Matt Kustra as the Natives beat the Kings, 4-3.
Neepawa outshot Dauphin, 45-34.
The Kings are back in action on Thursday as they welcome the OCN Blizzard for the first time.