Coventry secured their first home Premier League win in 25-years thanks to goals from Jack Rudoni, Sidiki Cherif, Ellis Simms, and Stephen Mfuni.
Lampard’s side now move out of the bottom three and into 14th with six points from their six games, level with Manchester United.
Speaking to BBC Sport after the game, Lampard didn’t get carried away with the result and said his side must 'keep our feet on the ground'.
"Today we showed a big energy and showed our abilities which we'll have to maximise,” he said.
"You have to ride a bit of luck. But they did it. Quality goals went in. Sometimes you have to deserve it.
"Sticking with it (was key). It's nervy because two is never enough. They were causing us problems. Stay in the game in those moments and the third goal was a big moment for us mentally."
On Cherif and Mfuni: "Their attitude and the way they are is top level. They want to learn. They've settled quickly. Steph is going to be a top player in every sense. Unfortunately he's not ours. He's shown incredible maturity.
"We have to keep our feet on the ground because it's so hard in this league. If you think you have cracked it you haven't.
"Good feeling but don't get over excited. Enjoy the moment."