With a place in the final at Walsall FC at stake and the tie evenly poised after a 2-2 draw at Sphinx Drive, Paul Charnley's side conceded a goal in the 59th minute but equalised five minutes later through Tom McGuire.
Fifteen minutes from time, Coalville scored the winner to book a place against Shifnal in the final.
Coventry Sphinx Reserves are in the Challenge Trophy Final and will look for a place in the final of the Challenge Bowl when they face Coleshill Town in the second leg of the semi-final. The first game finished 1-1 and kick off at Sphinx Drive is at 7.45pm tonight.