The Staffordshire side were ahead in seven minutes through Karl Charlton. Just before the break, Rocester scored twice through Mark Hodson (43) and Matt Redshaw (45)
Sphinx fought back in the second half and Adie Fisher in his first game back from a long term injury netted with six minutes left.
In the final minute, Luke Hopkins added a second but it was not enough to stop Paul Charnley's side going down to a defeat.
After losing 3-0 at Oadby Town on Thursday night, Coventry Sphinx Reserves won 3-2 at Gresley Rovers in a Midland Combination Reserve Division fixture.