The Sky Blues went into the break 1-0 down at home against a Tigers side who started the day bottom of the Championship table.
However, Ephron Mason-Clark and Jack Rudoni scored in the second half to seal their second win in four games under Lampard.
It comes as a much-needed victory three days after their 2-0 defeat at West Brom, during which they were also trailing at the break.
Speaking to talkSPORT afterwards, Lampard was asked if there was a feeling of 'Here we go again' when they went into half-time behind.
"Well yeah I did, but I have to not transmit that to the players," he said. "So it was more keep going and keep doing what you're doing well, and do it even better but don't get desperate, don't change.
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"Because we had a real plan today, to play to the size of the pitch and to get triangles and overload the sides and then crosses into the box.
"We were doing everything we wanted other than that last bit and then they score, so it was trying to give the players belief to continue doing it.
"And to be fair to them, they went and did that so that's one of the bigger things, some nice patterns of play and bits and bobs on the pitch, but the mentality side of it from the players was really strong."
Hull, who recently hired Ruben Selles as their new head coach from Reading, took the lead on 43 minutes through Joao Pedro.
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The Brazilian headed in unmarked after Ryan Longman's header came off the post and fell into his path.
Coventry equalised seven minutes into the second half when Mason-Clark bundled the ball in at the back post from Victor Torp's cross.
Rudoni then completed their turnaround by heading in from Mason-Clark's cross from the left on the approach to the closing stages.
Lampard first took charge last month when Coventry were 17th in the table but they have now risen to 15th, seven points clear of the drop.
The Chelsea legend has lost just one of his four matches at the helm, with a trip to Portsmouth next on the agenda for him and his side.
He will then be reunited with a former England teammate on Boxing Day when Coventry host Wayne Rooney's Plymouth Argyle.