Nigel Adkins's side looked shaky in the early stages, failing to stamp their authority on the game, but those nerves didn't last for long.
Southampton broke the deadlock on the 15-minute mark, when striker Billy Sharp picked up the ball on the edge of the area and powered into the bottom corner.
The home side doubled their advantage just three minutes later when defender Jose Fonte headed home Daniel Fox's cross.
Southampton's grit and determination continued after the break with Adkins's men dominating possession as they sought to put the game beyond doubt.
Sharp turned provider for their third goal, lining up Dutch defender Jos Hooiveld to bundle home from close range.
Another four minutes on the clock and it was 4-0. Ricky Lambert found Adam Lallana in space, and the midfielder fired high into the net.
Coventry had a handful of chances to cut the deficit, but Kelvin Davis was a rock in the Southampton goal. Carl Barker's 20 yard strike on 72 minutes found the shotstopper in fine form.
The result sees Southampton claim second place in the Championship, booking them a place in the top flight for the first time in seven years.