Paul Thompson's side trailed 2-0 to the Steelers with goals from Dagenais and Ashley Tait who scored twice to make it 3-0 midway through the second period.
In the 37th minute, it was 4-0 through a Sheppard goal before Tait completed his hat-trick.
Dan Carlsson fired home a consolation in the 55th minute.
Blaze are at home to Cardiff Devils tomorrow night with Face Off at 6pm.