Reilly Smith scored in the fifth round of the shootout to upset the Bruins 4-3 and end their NHL record of 14 home wins to start a season Monday night.
After the Bruins lost to Carolina in the playoffs, Boston dismissed Cassidy, 57.
Eight days after being fired, Vegas hired him.
Western Conference-leading Vegas took a 3-0 lead early in the second period on two goals by Paul Cotter and one by Jonathan Marchessault.
The Bruins conceded three goals for the first time this season.
Brad Marchand and David Pastrnak scored six minutes apart late in the first to spark the Bruins' comeback.
Taylor Hall's power-play goal 3:08 into the third knotted it.
Smith scored the only shootout goal with a forehand shot past Jeremy Swayman.
Vegas' 14th road victory equaled the Dallas Stars for the West lead.
Boston's interim coach, Cassidy, was promoted in April 2016.