Chris Harris put Paul Charnley's side ahead on the stroke of half-time but the home side scored three times in the second period.
The equaliser came in the 53rd minute with two penalties in the 64th and 80th minute spelling defeat for Sphinx.
Coventry Sphinx's next game is at home to Coalville in the Midland Alliance League Cup on Wednesday night at 7.45pm.
Coventry Sphinx Reserves were in Challenge Cup Semi-Final 1st Leg action this afternoon at Sphinx Drive and drew 2-2 with Coleshill Town.