The Sky Blues won 3-2 at the Kassam Stadium to move up into fifth spot with the Midlands outfit a club transformed under Lampard's tutelage.
Coventry were in a relegation fight when Lampard took over in November as they sat 17th in the Championship table.
But after seven wins from their last eight matches, they have shot up the table and are now in the hunt for Premier League promotion.
Goals from Jack Rudoni, Ephron Mason-Clark and Tatsuhiro Sakamoto secured all three points for the visitors after twice being pegged back.
They also held on for victory despite Ellis Simms having a penalty saved.
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With 11 matches remaining, Lampard could take now Coventry back to the top-flight for the first time since the 2000/01 campaign.
Coventry's victory is just their second league double over Oxford in their history and their first since the 1985/86 First Division season having beaten the U's 5-2 at home and 1-0 on the road.
They ended that campaign with a 17th place finish in the top-flight, just one spot above Oxford.
Meanwhile, Saturday's win followed a 3-2 triumph in the reverse fixture back in August.
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Since replacing Mark Robins in the dugout, Lampard has won 11 of his 19 matches across all competitions, losing just five times.
Since January 18, Coventry's only Championship defeat came against league leaders Leeds, where they lost 2-0 at home.
After moving up to fifth, Coventry are on course for their joint-highest finish since the 2000/01 campaign.
Robins previously guided them to the position two seasons ago before a penalty shootout defeat to Luton in the play-off final.
Lampard will look to keep his current run of form going against his predecessor next time out when his side host Stoke on March 8.
And Lampard will be hoping for a more controlled performance next weekend.
Speaking after the five-goal thriller at Oxford, he said: "It was entertaining, a typical Championship game which can go this way.
"It's not an easy place to come but we won while not being at our best today, but I think that can happen with these games which can mess you up.
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"The early goal gave us the sense that we could control the game but that went away.
"At this stage when we are trying to churn out results and points, you have to look at your team and think when you are not being your best can you still win games and we managed to do it with the three goals that we got, while missing a penalty."