The Brazilian striker, signed from Manchester City in the summer, scored twice before the break and missed several chances for a hat-trick as well assisting his side's other goals.
Leicester were awarded a penalty before half-time when Jamie Vardy and Arsenal goalkeeper Aaron Ramsdale collided, but the decision was overturned by referee Darren England after consulting with the video assistant referee.
After scoring, Gabriel Jesus was twice thwarted by Leicester keeper Danny Ward before half-time, and the 25-year-old also hit the side-netting from close range with 10 minutes of the game to go.
Gabriel Jesus later said: "I am so happy because we played so good against a tough opponent.
"I work all day every day to score goals.
"I was not unhappy at Manchester City, I just wanted to play and the club understood."