A video on social media showed people dancing at the late-night rave.
Police said they were called to the accommodation block following reports of a "large gathering of students" in the common room.
The force has since tweeted: "We've fined two students £200 each following a party at accommodation used by Coventry University students early on Tuesday morning.
"Social media footage showed dozens of people breaching social distancing guidelines at Arundel House in the city centre.
"We launched an investigation, in conjunction with the university, and we'll continue to work with others around the region to ensure their students are as safe as possible.
"Anyone thinking about organising a big gathering must think about the consequences."
It comes as Dorset Police also fined five people £200 each after they held an illegal party at Cardigan Road in Bournemouth.
Around 100 people attended the event on Tuesday evening, with officers called shortly before 11.20pm.
Forces were given powers in August to fine people who organised illegal parties and raves of more than 30 people up to £10,000.
Thousands of students in halls of residence across the country have had to self-isolate due to outbreaks of Covid-19 at more than 50 universities.
Coventry itself has seen its infection rate jump from 30 per 100,000 two weeks ago to more than 70.
A Coventry University spokeswoman said: "We are aware of an incident in a private accommodation block which was captured in a video that has been shared online.
"We are deeply concerned by the scenes in the video and strongly condemn the blatant breaches of the rule of six and other guidelines as they risk the health of our students, colleagues and the communities in which we are located.
"We have introduced a code of conduct for students and shared this widely with them ahead of the weekend."
The spokeswoman added that the vast majority of students were "sensible" and taking the virus seriously.