The deal is understood to be worth an initial £5m with a further £1m in add-ons, and sees the 33-year-old centre-back sign a three-year contract with the option of a further year at the CBS Arena.
Pinnock had entered the final year of his deal at Brentford, where his game time had shrunk to just eight appearances last season, and becomes Coventry's ninth signing of the summer and second new centre-back after the earlier arrival of Aurèle Amenda from Eintracht Frankfurt.
Pinnock joined Brentford from Barnsley in 2019 and went on to make 216 appearances for the west London club, scoring 12 goals and adding seven assists along the way.
He was a key figure in the Bees' 2020-21 promotion campaign, earning a place in that season's PFA Championship Team of the Year, and went on to make his Premier League debut in a 2-0 win over Arsenal in August 2021. He will now be reunited at Coventry with former Brentford teammate Frank Onyeka.
Brentford director of football Phil Giles paid tribute to Pinnock's contribution to the club's rise.
"Ethan is a Brentford legend. He was part of a fantastic group of players we signed in the summer of 2019 who elevated us from a mid-table Championship team to a side that could genuinely challenge for promotion. Without Ethan, there would be no guarantee we'd be where we are now, so for that reason he'll always be welcome back at Brentford at any time," Giles said.
Head coach Keith Andrews added: "Ethan is someone I always admired from afar because of the journey he went on to become a Premier League footballer. He has been one of the modern-day greats of the club."
Pinnock said he was relishing the challenge of helping Coventry City establish themselves back in the top flight after 25 years away.
"I'm really excited to join Coventry City and continue my footballing journey with this great club," he said.
"After 25 years, the club are back in the Premier League, and I know how much it must mean to everyone involved with the club and the supporters. I can't wait to be part of it. I'm really looking forward to getting to work and I can't wait to meet everyone and represent this football club, especially at the Coventry Building Society Arena."