Bale, Wales' youngest international at 16, scored something similar at Derby on the opening day.
This time after 61 minutes, the powerfully-built full-back stepped up to bang his 30-yard free-kick beyond the dive of Andy Marshall for the opening goal.
The precocious teenager almost added another 10 minutes later from the same position but this time Marshall got across to his right to make a diving save.
Southampton's second with just four minutes remaining had an element of good fortune when Poland striker Grzegorz Rasiak earned a penalty after falling over the foot of Elliott Ward when there was no obvious danger.
Coventry were furious with the decision of referee Grant Hegley and substitute Don Hutchison was booked for dissent.
But Rasiak kept his nerve and beat Marshall with his spot-kick to earn Southampton their first win of the season.
They could have even grabbed a third when substitute Kenwyne Jones struck a post in the last minute with a low shot.
All this was in contrast to the first half when Coventry looked the better side but the nearest they came to scoring was on 15 minutes when Dele Adebola headed against a post from a centre by Stephen Hughes.
Southampton's new keeper Kelvin Davis made two important early saves from Stern John and from Adebola, while Ward wasted a clear opening by heading against a group of players when unmarked at a corner by Gary McSheffrey.
But as the first half improved so did Southampton and John Viafara went close with a 25-yard shot and then with a header from a corner.
The second half belonged to George Burley's team and they should have gone ahead on 58 minutes only for Bradley Wright-Phillips to have a header cleared off the line by David McNamee.
Once Saints had gone ahead Coventry fell away but they should have pulled one back in injury time when John ran clear on to a Pele back pass but Davis rushed from his goal to force the shot wide.