A goal in either half from the Grecians earn the visitors all three points despite the U's getting a goal back in the second period from Rem Oteh.
Robbie Willmott opened the scoring with a well worked goal midway through the first half to give the travelling side the lead, before the advantage was doubled by a Ben Seymour header twenty minutes in the second half.
But Rem Oteh's first goal for Colchester United gave the home side hope that they could go on to get a second goal, but pressure on the Exeter City defence didn't cause them to buckle as they took all three points.
There were four changes to the eleven that started the game against Crawley on Saturday afternoon.
Harry Pell was the most notable omission from the eleven, after going off with an injury at the People's Pension Stadium. He was replaced in the centre of midfield by Brendan Sarpong-Wiredu.
Returning to the starting eleven was Josh Doherty, who was missing in the last match as Crawley is his parent club, and he took the place of Omar Sowunmi who was named on the bench.
The other changes were Michael Folivi coming in for Aramide Oteh, with Noah Chilvers promoted to the starting lineup in the place of Kwame Poku.
The visitors were keen on a high press in the opening ten minutes, trying to give the U's players as little time as possible to get settled on the ball. And their tactic seemed to work well, with misplaced passes from Harriott and Doherty falling at the feet of Exeter City.
Matt Taylor's side thought they had broken the deadlock with twelve on the clock with joint top scorer Matt Jay finding the back of the net. His header had the beating of Gerken as it flew into the top corner, but luckily for the U's he was offside.
The U's had a good effort blocked away moments later when Frank Nouble picked out Callum Harriott arriving on the edge of the area. Harriott, who is looking for his second home goal in two matches saw his effort blocked away as it arrowed towards the far corner.
Colchester United kept up the pressure on the visitors and were asking for a penalty when Michael Folivi was flattened in the area. Under the challenge of Lewis Page, Folivi was unable to get his head to the ball after the Exeter man had given him a shove in the back, with the referee waving play on.
Before the break the deadlock was broken and it was the Grecians who took the lead. A well crafted move from the visitors saw the ball played low into the area to Robbie Willmott who had an easy finish with Gerken already beaten by the cross.
The visitors were then trying to assert their dominance on the game with a second goal before half-time, and were inches away from it, when Key's effort was deflected over the bar. From just outside the area the full back took aim, with the ball seemingly heading on target but for an outstretched U's leg to guide it over the bar.
A goal-mouth scramble almost proved fruitful for the Grecians before the break as well, but for a good save from Dean Gerken. He deflected the effort from Seymour that was hit with power, with Jay heading the follow up on to the top of the crossbar and out to safety.
But the U's could and possibly should have been on level terms going into the changing rooms, when Frank Nouble had a chance to level the scores in the final seconds of injury time. He escaped his marker from a Harriott corner but couldn't find the net from inside the six-yard area.
Moments later the whistle blew for half-time with Exeter City leading by a single goal.
There were two changes for the U's at the break, with Callum Harriott and Michael Folivi taken off and replaced by Jevani Brown and Rem Oteh.
But it was the visitors who came out looking the better side. Matt Jay was the danger man in the opening exchanges of the second half, and looked to catch out Dean Gerken with a near post effort early in the half, although Gerken was wise to it and collected easily.
The Grecians went closer still with an effort from Pierce Sweeney after Jay had lofted the ball in from a free kick when his flicked header bounced off the outside of the post and out for a goal kick.
But just moments later it was a two goal advantage for the visitors. Ben Seymour was the man on target with a deft header at the near post that flew into the far corner with Gerken given no chance to get anything on the ball.
It was a two-goal advantage that would last for only a couple of minutes though, as Rem Oteh got his first goal in a Colchester United shirt. Much like Robbie Willmott's goal for Exeter, Oteh couldn't miss as he made a clever run towards goal to attack the low cross from Noah Chilvers and tap it into the back of the net.
There was late pressure Andresson's goal from the U's who had a late succession of corners, although the visiting defence stood strong to ensure it was Exeter City who took all three points from the game.
It means the U's fall one place to twenty-first behind Stevenage, who picked up a point this evening. The U's face second placed Forest Green Rovers next, who play Southend United tomorrow evening.
Colchester United starting XI: Gerken, Welch-Hayes, Doherty, Smith, Harriott (Brown 46'), Chilvers (Poku 78'), Eastman, Sarpong-Wiredu (Senior 72'), Stevenson, Folivi (Oteh 46' (Sayer 90')), Nouble.
Unused Subs: George, Sowunmi.
Exeter City starting XI: Andresson, Taylor, Seymour, Collins, Randall (Fisher 85'), Parkes, Willmott (Sparkes 78'), Jay (Caprice 77'), Page, Sweeney, Key (Atangana 77').
Unused Subs: Lee, McArdle, Kite.