An exciting game at Sixfields Stadium saw the sides trade goals in stoppage time with Mathieu Manset equalising right at the end after Chris Humphrey had given his side a late lead
Steven Pressley's side have now played five games in league and cup so far this season, with an incredible 31 goals being scored in those fixtures.
The game, staged at Northampton Town's Sixfields Stadium, followed Coventry's previous home tie in the league this term - a 5-4 win over Bristol City - and was another thriller.
Leon Clarke cancelled out Preston defender Tom Clarke's opener to send the game in level at half-time at 1-1.
Preston turned the screw after the break and, after Joe Murphy had saved from John Mousinho, the Australian defender rifled in his side's second from the resulting corner.
The lead lasted barely five minutes, however, as Callum Wilson converted from close range after Franck Moussa's shot was saved.
And Wilson made it 3-2 with just seven minutes of normal time remaining, drilling home shortly after Leon Clarke had rattled the crossbar.
Preston levelled the scores again four minutes later, Joel Byrom heading home Tom Clarke's cross before Kevin Davies laid on an open goal on for Chris Humphrey to score.
But the hosts had the last laugh as substitute Mathieu Manset scrambled home to rescue a point.