The Saints handled the blustery conditions better at RSEA Park on Friday, winning 10.7 (67) to 3.14 (32), despite being forced to field a makeshift forward line.
But promising midfielder Windhager lasted just a few minutes after starting in the centre square, breaking the third metacarpal in his right hand.
The 19-year-old will undergo surgery on Saturday, yet remains a chance to feature in the round-one clash with Fremantle on March 19.
Windhager joins a growing injury list already featuring key players Max King (shoulder), Jack Billings (fractured leg), Zak Jones (achilles), Tim Membrey (knee) and several others.
Essendon also had an injury scare on Friday, with midfielder Jye Caldwell helped off the field during the third quarter with a sprained ankle.
Caldwell sat out the rest of the match as a precaution but is expected to be available for round one.
In the absence of injured tall forwards King and Membrey, St Kilda still found enough avenues to goal.
Off-season recruit Zaine Cordy, 19-year-old Mitch Owens and rookie Anthony Caminiti all featured in attack with spots up for grabs heading into the premiership season.
Owens kicked three goals and handed two off, including one off for Jack Higgins, who also finished with three majors.
First-round draft pick Mattaes Phillipou impressed with 15 disposals and a goal.
Saints midfielder Brad Crouch (35 disposals, seven clearances) was busy and ruckman Rowan Marshall won an intriguing battle with Essendon's Sam Draper.
Marshall had 24 disposals, 19 contested possessions, eight clearances and a goal.
Essendon wasted a strong start and territorial dominance with the breeze at their backs in the opening term, failing to capitalise in front of goal as they kicked 1.6 to 0.2.
Alwyn Davey Jr (13 disposals) was lively across half-forward for the Bombers in the first half.
Peter Wright (1.4) and Nic Martin (0.3) both wasted several chances in attack, while new captain Zach Merrett (23 disposals, seven clearances) and former Carlton player Will Setterfield (25, three) were busy.
Saints star Brad Hill was a late withdrawal from the practice match because of personal reasons and is not in doubt for round one.
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