Following McSheffrey's £4m move to Birmingham, Coventry struggled to create chances, though Don Hutchison's first-half free-kick did hit the post.
Leicester also lacked a cutting edge in front of goal, with Josh Low showing a lack of composure on 15 minutes.
Late on Andy Marshall beat away Iain Hume's powerful shot, while Leicester were troubled by a Colin Cameron cross.
Leicester City manager Rob Kelly
"I am pleased with our last two performances especially after the first two games.
"I thought we played well in the first half and then had to show the other side of our game in the second period.
"Our players showed they were up for the challenge and didn't shirk a single thing and that is pleasing after the disappointment of the first couple of matches."
Coventry: Marshall, Whing, Heath, Ward, Hall, Birchall (El Idrissi 54), Hughes, Cameron, Doyle (Thornton 68), John, Hutchison (Adebola 64).
Subs Not Used: Page, Osbourne.
Booked: Doyle, Whing.
Leicester: Henderson, Kenton (Stearman 74), McCarthy, Kisnorbo, Johansson, Low, Hughes, Johnson, Porter (Wesolowski 70), Fryatt, Hammond (Hume 57).
Subs Not Used: Logan, Maybury.
Booked: Porter, McCarthy.
Ref: A Hall (W Midlands).