Penicuik went on the attack from the opening minute and won consecutive corner kicks, but Blackburn defended them comfortably.
Then in the 10th minute a long ball over the Penicuik defence had keeper Connor Easton rushing from goal to nip the ball away from Andy McQuillan.
Minutes later, a glancing header by Ryan McCallum went narrowly wide and a long range effort by John McDonald flew high over the bar.
On the quarter hour, a Ryan Gay free kick picked out the unmarked McCallum, but he side footed the ball wide of the target.
Penicuik continued to pile on the pressure and the visitors had keeper King to thank when he denied McCallum with an excellent save.
In the 26th minute, Andy Forbes crossed the ball to the back post where McCallum headed for goal, but again, keeper King came to the rescue.
On the half hour Penicuik had the ball in the net but Gay was ruled offside.
Then totally against the run of play, Herriot curled the ball over the Penicuik defence and McQuillan drilled the ball into the bottom corner, leaving it 1-0 to Blackburn at the break.
Three minutes into the second half and Penicuik equalised when Aaron Somerville dived in low to head home a Gay cross.
On 62 minutes, the visitors restored their lead when McQuillan gathered the ball in from a goal kick, drove forward and his left foot strike from 20 yards gave Easton no chance.
At the other end, a Ross Montgomery strike was tipped round the post by keeper King.
Penicuik were piling on the pressure again but efforts by Keith Lough and MacDonald came to nothing.
In the 88th minute, Blackburn broke from defence and McQuillan almost had his hat trick, but a fine save by Easton denied the big striker.
Penicuik: Easton, Forbes, Noble, Hume, Young, Barr, Gay, MacDonald, McCallum, Somerville, Montgomery. Subs: Jones, S Scott, K Scott, Lough, Connolly.