A Kevin Foley own goal gave Latics the lead on eight minutes before Marcus Tudgay equalised a minute later.
Athletic battled in the second half and managed to notch two quick goals through Peter Clarke and Ryan McLaughlin.
Kwami Thomas pulled a goal back for the Sky Blues but Latics managed to hold on for all three points and moved out of the relegation places.
Manager John Sheridan made two changes to the side which played MK Dons on Tuesday night.
Anthony Gerrard was restored back to the starting 11 after serving his one match suspension and Ryan Flynn came back into the side.
The 28-year-old was straight into the action and it would be his cross which put Latics a goal ahead.
After a bright start from Latics, Flynn took on his man, got to the byline and crossed into the centre and the ball was turned over the line by Coventry defender Foley.
However, that lead was to only last a minute as Coventry City hit back instantly.
Tudgay was allowed acres of space on the edge of the box and he fired past Connor Ripley to level the scores.
Aaron Holloway took a blow on 13 minutes and tried to continue but was eventually forced off on through injury.
He was replaced by Paul Green which meant Latics played without an out and out striker.
Flynn pushed up alongside Ryan McLaughlin in attack and the pair put themselves about.
The former Liverpool full back was fouled midway through the half but Anthony Gerrard’s free kick hit the wall and was cleared.
Coventry City grew into the half and were unlucky not to be ahead on the half hour mark.
After neat skill on the edge of the box, the ball was laid into the path of Callum Reilly but the midfielder smashed the underside of the bar but Ripley managed to clear the danger.
Chances for both sides followed as Tudgay missed his kick in front of goal whilst Chris Taylor’s cross from the left deceived goalkeeper Reice Charles-Cook but Green could not convert.
In what turned into an end-to-end last five minutes, Taylor tested the palms of the Coventry goalkeeper but his volley from 25 yards was well saved.
Kyel Reid had a chance in the final minute of the half but he volleyed over from close range.
The visitors started the second half the stronger of the two sides and could have taken the lead five minutes into the half.
George Thomas managed to knock the ball beyond Clarke but Ripley managed to get a hand to his shot and turn it onto the post.
Athletic cleared the danger and started to dictate proceedings.
Taylor headed into the path of Green who struck on the volley but the Coventry goalkeeper was well behind his effort to save.
Sheridan made a double change on the hour mark as he introduced Ollie Banks and Michael Ngoo into the proceedings.
Latics were well on the front foot and had two chances to put Latics back ahead.
Firstly, good work from O’Neill saw him cross into the centre for Green but his deflected effort went onto the roof of the bar.
Minutes later, the impressive Rob Hunt took on two players on the left, found Taylor inside but his shot went wide of the far post.
Athletic were knocking on the door for the goal and finally got it on 66 minutes through fortuitous circumstances.
A cross into the box was not dealt with by Charles-Cook, he dropped the ball and Clarke managed to get his head to the ball and place it into the bottom corner.
Athletic continued to attack as O’Neill went close on two occasions before Latics finally got the third on 70 minutes.
McLaughlin raced through on goal, composed himself and fired confidently into the bottom corner.
Coventry City responded and brought on Jodi Jones and he was instrumental in their second goal.
His cross into the box found the head of fellow substitute K.Thomas who headed past Ripley to make it a nervy finish.
The Sky Blues started to put the pressure on Latics but were struggling to create clear cut chances.
Reilly forced a good save from Ripley whilst deep into the game, Athletic had to be wary of a goalmouth scramble but they managed to clear the danger.
Five minutes of additional time was announced but it was Athletic who looked the more threatening to score.
O’Neill struck wide from 25 yards and McLaughlin forced a corner following good work from Ngoo.
Athletic managed to keep hold of the ball and the referee blew the final whistle to move Sheridan’s men out of the bottom four.
Oldham Athletic: Ripley, Wilson, Gerrard, Clarke, Hunt, Taylor, Fane (Banks 60’), O’Neill, Flynn (Ngoo 60’), McLaughlin, Holloway (Green 19’).
Subs not used: Kettings, Croft, Osei, Obadeyi.
Coventry City: Charles-Cook, Foley, Clarke, Rawson, Haynes, Reilly, Rose, Gadzhev (K.Thomas 69’), G.Thomas (Lameiras 86’), Reid (Jones 73’), Tudgay.
Subs not used: Burge, Kelly-Evans, Turnbull, Bigirimana.
Goals: Oldham Athletic (Foley OG 8’, Clarke 66’, McLaughlin 70’) 3-2 Coventry City (Tudgay 9’, K.Thomas 76’)
Attendance: 3,766 (389 visiting supporters)