Clinton Morrison's eighth league goal of the season set Coventry on their way to a first home win in eight attempts.
City played three men up front and on 11 minutes it paid off as Morrison scored from a Guillaume Beuzelin cross.
Kieren Westwood's fine save from Sean McAllister kept City in front and Aron Gunnarsson should have made it 2-0 but his header was weak.
Marcus Tudgay continued to threaten for the Owls until Robbie Simpson's late goal made sure of the three points.
Sheffield Wednesday manager Brian Laws:
"The two chances they created they scored with.
"We conjured up enough opportunities but we've got to take our chances. We had 10 chances in the first half but we're not being clinical with them.
"Hopefully we'll have players returning before the next league game and that should add some venom to the side."
Coventry manager Chris Coleman: "We have to get the home wins and this is a good end to the year for us.
"I have been critical of the boys in the last two home games but they have come out in the two Christmas fixtures and been magnificent.
"We were without three important defenders and had to play people out of position but I thought they did very well. They looked extremely determined and really attacked the ball."
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