McDonald's goals came a minute apart midway through the second frame and he then started the play that led to Penner's marker on a 2-on-1 with Teemu Selanne at 4:07 of the third. McDonald has four goals in the series so far.
Anaheim leads the best-of-seven final 3-1 and can claim its first Stanley Cup championship with a victory in Game 5 at home Wednesday night.
Daniel Alfredsson and Dany Heatley scored for Ottawa, which left its red-clad, banner-waving crowd of 20,500 stunned in a nervy game the home side started in force before inexplicably sagging in the second period.
They pulled goalie Ray Emery for an extra attacker with 1:32 left to play but failed to generate a single quality scoring chance as Anaheim bottled them up.
"When you get a lead late in the game you can make the other team look fairly inept," said Senators coach Bryan Murray.
The Ducks, who went into the night 0-5 in games on the road in their two final series appearances, tied the NHL record for most one-goal wins in a single playoff year at 12. They share it with themselves from 2003 and Montreal in 1993.
The win came despite the absences of star defenceman Chris Pronger, suspended one game for a blow to the head of Ottawa's Dean McAmmond in Game 3, and injured first-line winger Chris Kunitz.
Just after pop star Alanis Morissette sang the anthems, the Senators jumped on the diminished Ducks lineup and bombarded Jean-Sebastien Giguere's net early after feisty Chris Neil drew two penalties.
The Senators had nine shots before Corey Perry got one for Anaheim in the 12th minute.
A goaltender interference call to Ryan Getzlaf led to Alfredsson's opening goal with 0.03 left in the first, when he took a feed from Peter Schaefer and put a shot under Giguere's arm.
But after outshooting Anaheim 13-2 in the first period, the Ducks had a 13-4 advantage in the second as they outskated a listless Ottawa and took the lead.
A power play had just ended when McDonald took Todd Marchant's feed, waited for Emery to go down and shot one in off his stick at 10:06.
Exactly one minute later, McDonald was open on the left side on a rush, put a sweet move on Anton Volchenkov and scored on the backhand under Emery's pad.
"Those are not good goals to give up," said Murray.
But the Senators struck again late, as Patrick Eaves slid a pass across the crease for Heatley to slam in before leaping in glee over the struggling sniper's first goal and point of the series.
Only 4:07 into the third, Wade Redden was turned around in the neutral zone, allowing Selanne to move in and feed Penner for a shot into an open side.
The second period ended with a melee of mostly shoving, as the Ducks felt Alfredsson shot the puck at Ducks defenceman Scott Niedermayer. The captains looked ready to square off, but Alfredsson backed off. Emery also challenged Giguere, who perhaps wisely said no.
"Daniel Alfredsson doesn't do that," said Murray.
Murray moved Alfredsson to Mike Fisher's line and rotated wingers with Heatley and Jason Spezza in the second to balance his lines.
Teams leading 3-1 have won 28-of-29 finals since the best-of-seven format was adopted in 1939, with the exception the 1942 Toronto Maple Leafs.
Notes: As expected, McAmmond's spot was taken by Eaves . . . Joe DiPenta replaced Pronger, while Kunitz also sat out after leaving Game 3 with an abdominal bruise. He was replaced by Joe Motzko . . . Daniel Alfredsson has played in all 98 playoff games in the Senators' history. Ottawa is (49-48) all-time in the post-season.