In a thrilling Premier League encounter at the King Power Stadium, Mohamed Salah headed the Reds into the lead before Philippe Coutinho added a second with a magical free-kick.
Shinji Okazaki pulled a goal back in first-half stoppage-time, only for Jordan Henderson to make it 3-1 at the end of a counter-attack.
However, the hosts refused to give up and Jamie Vardy quickly reduced their arrears again, but the Leicester No.9 was then left frustrated when he saw his penalty brilliantly saved by Simon Mignolet.
The home side continued to throw everything at Liverpool in the search for an equaliser and Wijnaldum admitted it was a satisfying feeling to prevent the points from slipping away.