KANSAS CITY, Mo. (AP) — The Tampa Bay Rays haven't had much trouble getting out to early leads.

It's holding onto them that's been an issue.

"There's a pretty revealing statistic that in 10 of our 15 losses we've had the lead and given them up," manager Joe Maddon said after the latest letdown. "We just can't do that."

Tampa Bay raced out to a five-run lead midway through the third inning on a cold, blustery Wednesday night, only for the scrappy Kansas City Royals to claw back into the game. The Royals put up five runs in the sixth inning alone, and then held on for a 9-8 victory.

"It's always frustrating when you give up a lead and you lose the game," said Rays reliever Jake McGee (0-2), who pitched the fateful sixth inning. "You always want to preserve the lead."

Matt Joyce, Ben Zobrist and Luke Scott each homered for the Rays, who dropped to 4-11 on the road this season. Starting pitcher Jeremy Hellickson allowed four runs in five innings.

Elliot Johnson homered against his former team, and Lorenzo Cain and Jeff Francoeur each drove in a pair of runs for Kansas City.

Bruce Chen (2-0) pitched two scoreless innings in relief of Royals starter Luis Mendoza, and Greg Holland worked a perfect ninth inning in a light drizzle for his seventh save.

"Our goal is to get the first one or two guys one very inning and then let whatever is going to happen, happen," Francoeur said. "Tonight we were able to do that."

Kansas City will go for the series sweep on Thursday, assuming the game is even played. The forecast calls for temperatures in the upper 30s with a good chance of rain or snow.

It was 66 degrees and partly sunny at first pitch Wednesday, but the weather deteriorated quickly. The temperature dropped into the upper 40s by the later innings, and winds gusting more than 30 mph to right field turned every ball hit out of the infield into an adventure.

"When we were in batting practice, we were all in short sleeves and sunglasses. Once the game started it dropped," Royals manager Ned Yost said. "It definitely cooled way, way off."

The Rays were hot from the start, though, taking a 2-0 lead on back-to-back homers by Joyce and Zobrist in the first inning. The solo shots also gave Tampa Bay at least one homer in 16 straight games, setting a new franchise record.

Kelly Johnson's RBI double and Desmond Jennings' sacrifice fly made it 4-0 in the second, and Evan Longoria's triple in the third turned into another run on James Loney's base hit.

Kansas City clawed back in the bottom half when Johnson homered over the wall in right field, his first home run since last September when he was still with the Rays.

Scott answered for Tampa Bay with a solo shot in the fourth, but the Royals scored again in the bottom half when Gordon's two-out base hit cut the Rays' lead to 6-2.

Kansas City kept peppering Hellickson in the fifth, this time with a leadoff double by Billy Butler and an RBI triple by Cain. Mike Moustakas followed with a sacrifice fly to center field that allowed Kansas City to get within two runs.

The Royals finally pulled ahead off McGee in the sixth.

They loaded the bases with two outs for Butler, who hit a liner right back at McGee that the pitcher managed to knock down but still scored a run. Eric Hosmer then hit a grounder deep in the hole at shortstop, and Yunel Escobar's bobble allowed the tying run to score.

Cain followed with a blooper to center that gave Kansas City the lead, and Francoeur greeted new reliever Kyle Farnsworth with a two-run single that made it 9-6.

"We actually did a lot of things well, another good offensive night," Maddon said. "For the pitching to come apart is really unusual for us."

Tim Collins entered for the Royals and coughed up most of the lead on Loney's RBI single and a two-out single by Scott, but Aaron Crow retired Jose Lobaton to escape the seventh inning.

Crow pitched a perfect eighth before Holland wrapped up the win.

"The offense was showing signs they were going to be able to get back in it, and they darn-sure did," Yost said, "but both Crow and Chen were pivotal for us tonight."

Notes: RHP Roberto Hernandez starts Thursday's series finale for Tampa Bay against Royals RHP Ervin Santana, assuming the game gets played. When told of the forecast, Maddon quipped, "That's not even good football weather." This is the Rays' only visit to Kansas City this season, creating some potential scheduling issues if the game is postponed.