Leon McKenzie's two second-half goals were the difference between the two sides as Brian Laws suffered his first defeat as manager of the Yorkshire team.
The game was effectively decided in an explosive first half, which saw two sending offs for the Owls - infuriating Laws.
It meant Wednesday were always playing on the back foot but Coventry - and McKenzie in particular - took full advantage.
It was a tight, evenly contested start from both sides with both teams having a half-chance within the first five minutes.
Jay Tabb's right-wing cross was headed wide by City's McKenzie before Marcus Tudgay beat Sky Blues keeper Andy Marshall to the ball but his header was cleared by Marcus Hall.
Wednesday looked to be getting the upper hand with a succession of corners but their flow was disrupted with a needless sending off.
A foul by Coventry's Michael Doyle resulted in Wade Small pushing the little Irishman, resulting in a red card.
But the setback seemed to inspire the Yorkshire outfit as they finally scored direct from their sixth corner in the 22nd minute.
Chris Brunt's in-swinger was missed by everyone and bamboozled Sky Blues keeper Marshall.
But Coventry were level within two minutes. A mazy run by McKenzie ended with a wicked cross which was put through his own net by Madjid Bougherra.
The goal gave the home side new belief with Tabb hitting the post, Colin Cameron seeing his shot brilliantly saved by Mark Crossley, and Doyle's header being cleared off the line.
Wednesday's task became harder when they were reduced to nine men in the 36th minute after last man Brunt brought down Chris Birchall after the Trinidad and Tobago international was played through by Dele Adebola.
McKenzie shot narrowly over in first-half injury time with Sheffield Wednesday holding on.
The second half started the way the first ended with the home side pouring forward and left-back Clive Clarke seeing his 25-yard effort well-saved by Crossley.
In the 51st minute, Coventry were ahead. Birchall's long-range effort was parried by Crossley and McKenzie was first to react as he scored his first goal in 11 games for the club.
Four minutes later Coventry doubled their lead with Birchall again the provider. His right-wing cross was missed by everyone apart from McKenzie who side-footed home into an empty net on the far side.
Coventry were now rampant and Birchall was denied a deserved goal - again brilliantly denied by Crossley - while Doyle saw a 25-yard pile-driver go just wide.
But Sheffield Wednesday - and their noisy fans - never gave up and captain Lee Bullen almost pulled a goal back in the 70th minute but Marshall saved his point-blank header from a Kenny Lunt corner.