Colchester took a fourth-minute lead when former Coventry loanee Freddie Sears latched on to a pass into the area and confidently slotted past goalkeeper Joe Murphy.
The U's went further ahead midway through the first half when Gavin Massey got on the end of David Wright's long pass and finished low past Murphy.
Colchester goalkeeper Sam Walker did well to push away Chuba Akpom's fine low shot at his near post.
The Sky Blues got back into the game on the stroke of half-time when Callum Wilson somehow squeezed a superb low shot past Walker and into the far bottom corner.
Coventry pressed for an equaliser in the second half, with Jordan Clarke's low shot saved to his right by Walker just after the hour-mark.
Wilson should have equalised when he fired a tame effort at Walker and the striker also fired just wide deep in stoppage time.