Charalampos Kostoulas put Brighton ahead in the first half and Malick Yalcouye doubled their lead soon after the interval.
Coventry striker Taiwo Awoniyi was sent off for violent conduct in the second half.
Pascal Gross netted from the penalty spot and Lewis Dunk curled home from long range.
Yasin Ayari wrapped up Brighton’s emphatic victory as Coventry’s frustrated fans flooded to the exits well before the final whistle.
Coventry are still looking for their first Premier League goal since 2001 after going scoreless while losing their first four top-flight matches this season.
Lampard’s men are the only Premier League team without a point this season.
The Sky Blues were promoted from the Championship last season to end their 25-year exile from the Premier League.
“It’s a difficult scoreline and it’s not easy at home,” Lampard said.
“The first half was pretty good, we created some chances and we had them under a lot of pressure. Then a mistake to make it 2-0 and the red card makes it very difficult.
“We have to take responsibility. We did some good stuff, then the game became very, very difficult for us. We have to keep working.”
Brighton are into the top four after winning for the second time this term and the first since their 4-0 rout of Aston Villa on the opening weekend.
“It’s important to stay humble and not take these things for granted,” Brighton boss Fabian Hurzeler said.
“Overall we are a team where a lot of players can score goals and that brings us a lot of flexibility which is good for a coach as well.”
Coventry threatened early on when Jay Dasilva picked out Jack Rudoni and the midfielder’s cushioned volley forced a superb save from Bart Verbruggen.
Verbruggen made another eye-catching stop to repel Frank Onyeka’s volley after the midfielder cleverly flicked the ball up for his shot.
Brighton took the lead in the 35th minute thanks to Kostoulas’s inspired moment.
The teenage Greek striker astutely nodded Gross’s pass beyond two Coventry defenders and turned to drill a fine finish past Carl Rushworth.
Yalcouye put Coventry in command, accelerating away from the defence to double Brighton’s advantage with a clinical strike in the 51st minute.
A miserable day for Coventry took a turn for the worse two minutes later when Awoniyi was dismissed for clattering Maxim De Cuyper in the face with his elbow.
Brighton piled on the misery for Lampard, netting for the third time in the 70th minute.
Bobby Thomas’s foul on Kostoulas conceded a penalty that Gross slotted home with ease.
Dunk scored the goal of the day in the 83rd minute, curling a spectacular effort into the top corner from 25 yards.
Ayari put the seal on Brighton’s rampant performance in stoppage-time as he whipped a composed low strike past Rushworth. (AFP)