McSheffrey, a constant thorn in the visitors defence, netted a first-half opener before turning provider for Jutkiewicz's ninth goal of the season after 54 minutes as the Sky Blues claimed their second successive victory.
The three points sees Andy Thorn's side move off the bottom of the table on goal difference at the expense of Doncaster, who were hammered 4-1 by Watford earlier.
Gus Poyet's outfit failed to assert themselves on the match and, as a result, were condemned to their fourth successive defeat. They have now failed to score in their last four outings.
Brighton did, however, have the first opening of the match, but Adam El-Abd failed to direct Ryan Harley's cross on target.
The hosts settled and McSheffrey tested Casper Ankergren in the Brighton goal, with the former Leeds shot-stopper late in punching the winger's effort to safety.
Matthew Sparrow had a weak shot saved by Joe Murphy while, at the other end, McSheffrey fired over from 20 yards as the game started to open up.
The visitors were determined to catch Coventry on the break but, when the ball fell to Billy Paynter, the on-loan Leeds striker could only find the hands of Murphy from 20 yards.
Gary Deegan went close for the Sky Blues, shooting just wide from 18 yards, before the hosts went ahead 11 minutes before the interval.
The lively McSheffrey, lacking support, raced forward at pace and drilled a low shot into the bottom-right corner from 20 yards.
Brighton had an opportunity to reply immediately, but Murphy brilliantly kept out Craig Mackail-Smith's shot from 12 yards.
The goal seemed to inject confidence into Coventry and they almost doubled their advantage three minutes later, Richard Wood volleying just wide.
Carl Baker's shot was pushed to safety by Ankergren before Coventry did find a second nine minutes after the interval when Jutkiewicz headed McSheffrey's teasing cross into the bottom corner from six yards.
Kazenga LuaLua came off the Brighton bench to provide Murphy with a comfortable save, while Deegan mis-cued a 20-yard effort as Coventry attempted to kill the game off once and for all.
Alan Navarro tried to give Poyet's side some impetus with an inswinging free-kick, only to see the commanding Murphy punch clear.
Brighton failed to create any real clear-cut chances as Sparrow had another weak long-range effort blocked, while Ankergren denied the dangerous Jutkiewicz a second 12 minutes from time with a fantastic save.
Brighton almost notched late on, but Mackail-Smith headed straight at the reliable Murphy.