Dustin Penner grabbed the game-winner with 2:18 left in overtime to give the Kings a 4-1 series win and send Los Angeles to just their second Stanley Cup finals. They last played for the Cup in 1993 when they lost to the Montreal Canadiens.
"It'll be nice to go back," Penner said. "I've been there once before (with Anaheim in 2007). I didn't get a chance to enjoy it as much as I should've. This time I'm going to take it all in."
The Kings had scraped into the play-offs as the eighth-ranked team in the West but took down the top seeds one-by-one, first top ranked Vancouver (4-1), then second seeds St Louis (4-0) and now the Coyotes (4-1).
The teams were tied 1-1 at the first intermission on Tuesday after Taylor Pratt scored on a power play for the Coyotes and Anze Kopitar replied with a short-handed goal for Los Angeles.
Both teams scored twice in the second period with Marc-Antoine Pouliot and Keith Yandle netting for Phoenix, while Drew Doughty and Mike Richards scored for the Kings.
There were no goals in the third period but after several close calls from both sides, Penner finally sealed the win.
Coyotes netminder Mike Smith made 47 saves while Kings' Jonathan Quick recorded 38 stops.
"Four more wins, that's all we're thinking right now," Quick said. "Hats off to Phoenix, they played unbelievable. There was a lot of emotion in this game and we were fortunate to come out on top."
Shortly before the winning goal, Los Angeles winger Dustin Brown laid a powerful hit on Michal Rozsival just after a whistle, knocking the Coyotes defenseman out of the game.
The Kings scored after the ensuing faceoff and the furious Coyotes protested the sequence of events to the officials without success.
Los Angeles will play the winner of the Eastern Conference final between the New York Rangers and New Jersey Devils. That series is tied at 2-2.