Micky Adams' men, who had slipped to defeat at Sheffield United on Saturday, surged into a sixth minute lead through James Scowcroft only for a bad slip by skipper Rob Page to hand an equaliser to Ricardo Fuller.
Coventry, showing two changes from that Bramall Lane defeat, were straight into the groove and carved Saints apart with a well worked move.
Scowcroft held the ball up well before feeding Marcus Hall down the left and when the full-back centred, the former Ipswich man was there to turn the ball in with his left foot.
Southampton had not made an impression but from their first attack they were level. Page looked to have done enough when he moved on to a pass by Danny Higginbotham, but he totally miskicked his back pass allowing Fuller to stroke the ball into the empty net.
The game had started at frantic pace and it didn't drop in the aftermath of the goal. Claus Jorgensen, who had scored the first goal at the new Ricoh Arena, went close from a Michael Doyle cross, while at the other end Fuller did well to beat two defenders before powering in a shot which was well held by Stephen Bywater.
Coventry won a series of corners just before the half hour but Southampton stayed firm at the back.
Both sides continued in the same vein after the break and Coventry could have gone ahead again through Scowcroft but the striker's head looped over the bar.
At the other end the home side were lucky to survive just short of the hour when Darren Powell's header beat Bywater only to bounce off the bar before Page managed to hook it to safety.
Michael Doyle saw a ferocious 30-yard free-kick bounce off a defender in the 72nd minute before Richard Shaw produced a fine last-ditch tackle to end a dangerous run from Fuller.
Scowcroft had the last real chance when he turned on the edge of the area in the 80th minute, but his low shot fizzed just wide of the Antti Niemi's right post.