The Sky Blues suffered the agony of defeat at its most potent as an injury time header from substitute Neill Collins gave Wolves all three points.
A battle of attrition at Molineux had looked set to end all square with both defences bossing the game from start to finish.
City's best chance fell at the feet of skipper Michael Doyle midway through the second half when the Irishman fired narrowly wide of the target.
Dele Adebola started ahead of Leon Best upfront in boss Iain Dowie's only change to the side which beat Blackpool 3-1 on Tuesday.
And the Sky Blues made a bright start with man-of-the-moment Michael Mifsud forcing Wolves goalkeeper Wayne Hennesey to parry a low shot before the ball was cleared to safety.
The home side's first effort of the match arrived when clever play by Stephen Ward on the left unlocked the City defence but Stephen Hughes was on hand to divert the winger's dangerous cross behind.
Striker Andy Keogh then shot weakly at Marshall midway through the half before Seyi Olofinjana headed a Michael Kightly cross over the bar shortly after.
A collision between Robbie Simpson and Hennesey on the half hour resulted in the latter limping off with on-loan Reading 'keeper Graham Stack taking over in between the sticks.
Stack's first taste of the action was to watch a Hughes free-kick sail wide before diving to his left to foil Mifsud from ten-yards.
But the best chance of the opening period arrived at the other end in the 40th minute when Karl Henry's pass sent Kightly through on goal only for Andy Marshall to spread himself well and block the winger's shot.
City were the sprightlier of the two sides after the restart and Hughes stung Stack's fingers with a powerful volley before another Mifsud shot was parried by the 'keeper.
A superb block from Jody Craddock then thwarted Simpson at the back-post before Hughes' free-kick was charged down by the wall after a foul on Mifsud sparked a melee in the area.
The visitors continued to frustrate the home side on the counter attack and captain Michael Doyle came desperately close to scoring when he dragged a shot inches wide of the post.
A Kightly corner then flashed agonisingly across the face of goal as the match drew to a close.
But there was still time for Wolves to grab a slightly underserved winner when Collins rose highest in the six-yard box to head Kightly's cross beyond Marshall.
Wolves: Hennessey (Stack, 29); Foley, Breen, Craddock, Gray (Collins, 20); Kightly, Henry, Olofinjana, Ward (Eastwood, 46); Keogh, Elliott. Subs (Not Used) Bothroyd, Gleeson.
Goals: Collins (90)
Booked: Kightly, Henry
Coventry City: Marshall; Osbourne, Ward, Turner, Borrowdale; Tabb, Hughes S, Doyle; Simpson (Best, 89), Adebola (Kyle, 75), Mifsud. Subs (Not Used): McNamee; Hughes M; Thornton
Goals: None
Booked: Doyle, Borrowdale, Mifsud, Kyle
Attendance: 24,338
