St. Petersburg, Fla. - The New York Yankees are off to their worst start since 1998 - which ended up a magical season.

Jeremy Hellickson came within one out of a three-hitter on his birthday and the Tampa Bay Rays beat the Yankees 3-0 Sunday to complete a season-opening sweep and match the best start in club history.

"You just want to win a game," Yankees slugger Alex Rodriguez said. "Want to get this thing to 1-3 and get the train headed in the right direction. You definitely have a sense of urgency. Guys are playing hard. Offensively, we're hitting balls. Probably a dozen balls right on the nose that were caught."

The Yankees are 0-3 for the first time since the '98 season in which they won a then-AL-record 114 games and the World Series.

"At times it seems magnified when it's the beginning of the year," New York manager Joe Girardi said. "We've all been through three-game losing streaks. This is a resilient club. We'll be fine."

Carlos Pena and Jeff Keppinger homered for Tampa Bay, which also started with three consecutive wins in 2002.

Celebrating his 25th birthday, Hellickson (1-0) limited the Yankees to doubles by Nick Swisher, Mark Teixeira and Rodriguez. The 2011 AL Rookie of the Year walked four, struck out four and was one out from his third career complete game and second shutout when he was replaced by Fernando Rodney after 118 pitches.

"Just threw strikes," Swisher said. "Hey man, he pitched a great game."

The Yankees went 0 for 6 with runners in scoring position against Hellickson and Rodney, an offseason addition to Tampa Bay's bullpen who got the win in Friday's season opener and then earned saves in each of the next two games. New York was 5 for 25 in those situations for the series.

"Overall, our at-bats have been consistent," Rodriguez said. "They've been pretty solid. Swinging at strikes. Everything they did worked out perfectly. Everything we did worked out imperfectly."

Pena homered off starter Phil Hughes (0-1) in the third. Another offseason acquisition, Keppinger hit a solo shot off Boone Logan in the sixth. Matt Joyce drove in Tampa Bay's other run with a first-inning, broken-bat triple that skipped past sliding right fielder Raul Ibanez.

Hellickson gave up a one-out double in the second to Swisher but escaped further damage when Ibanez grounded out and Brett Gardner popped up to left field. The right-hander worked through another tight spot in the fourth after walking Rodriguez and giving up a double to Teixeira, this time getting Swisher to pop up to third base and Ibanez to fly to center field.

"Definitely great," Yankees center fielder Curtis Granderson said of Hellickson. "He was in the ninth inning. You can't get much better than that."

Rodriguez doubled with two outs in the sixth. After walking Teixeira, Hellickson struck out Swisher and didn't allow another runner until walking Swisher with two outs in the ninth.

Rodney retired Ibanez on an easy comebacker to end it.

Pena hit a grand slam off CC Sabathia and a game-winning single off Mariano Rivera in the opener. The slugger had another RBI single in Saturday's 8-6 victory over the Yankees.

The Rays' career home run leader had two of his team's five hits off Hughes, including a drive to right that was ruled a ground-rule double because of fan interference. Girardi went to his bullpen after Hughes walked the next batter, Evan Longoria, and Logan struck out Joyce to keep Tampa Bay from building on a 2-0 lead.

"We're disappointed, but at the same time we're not going to act like it's the end of the world," Hughes said.

• Granderson fouled a ball off his right calf. He got treatment postgame and said he will be ready to play in tonight's game at Baltimore. ... Girardi said A-Rod will be the designated hitter tonight and that he might DH twice during the three-game series. ... LHP Andy Pettitte will pitch for Class-A Tampa on Monday in his second outing following a one-year retirement. ... New York RHP Michael Pineda, out until at least May due to right shoulder tendinitis, threw at 60 feet on flat ground. ... Swisher, slowed by a pair of groin injuries during spring training, was the DH after playing defense the previous two days on the Tropicana Field artificial turf.