Coventry secured their first home Premier League win in 25 years thanks to goals from Jack Rudoni, Sidiki Cherif, Ellis Simms, and Stephen Mfuni.
Lampard’s side have now moved out of the bottom three and into 14th with six points from their six games, level with Manchester United.
Speaking to BBC Sport after the game, the former England international reflected on the result and said his side deserved their victory.
"Today we showed a big energy and showed our abilities which we'll have to maximise,” he said.
"You have to ride a bit of luck. But they did it. Quality goals went in. Sometimes you have to deserve it.
"Sticking with it (was key). It's nervy because two is never enough. They were causing us problems. Stay in the game in those moments, and the third goal was a big moment for us mentally."