Ria Baker put City ahead after 127 seconds when she disposessed the keeper and netted for a tight angle.
In the 21st minute,Helen Rudkin equalised when she firing home a cross from the right Coventry were back in front in the 38th minute when Ally Forbes kept her cool to finish with a powerful shot.
In the final minute,Leicester were awarded a penalty following a handball. Messenger stepped up to take the kick but City keeper Amy Hopkins pulled off a tremendous save to push the ball over the bar and give Coventry the victory.