The 22-year-old arrives with the Sky Blues having lost the services of 18-goal leading scorer Leon Clarke to League One rivals Wolves and 15-goal frontman Callum Wilson to a long-term shoulder injury.
Delfouneso earlier this month ended a lengthy loan spell with Championship side Blackpool, for whom he bagged seven goals in 54 appearances although none of those strikes came this term.
Coventry manager Steven Pressley said: "Nathan had always been high on our shortlist for this window and we'd pursued him for a number of weeks so we are absolutely delighted to be able to bring him in.
"He has a great level of experience for somebody of his age and his ability is something we feel will give us the kind of attacking threat that we want.
"I have been saying throughout this month that we wanted to add strikers in this window so to get someone of Nathan's calibre through the door is exactly the kind of business that we want to be doing."