Currently the Bishop of Doncaster, she will care for 201 parishes across Warwickshire and Coventry.
Bishop Jelley succeeds the Right Reverend Dr Christopher Cocksworth, who left the diocese in November last year to become the Dean of Windsor.
She will start her new role in the spring, following an installation service at Coventry Cathedral.
The announcement was made on Monday, after her nomination was approved by King Charles.
Bishop Jelley said she would "find it incredibly hard" to leave Yorkshire, where she had "learned what it is to be a bishop for the church in today's world".
But she added she trusted "this has equipped me to be the Bishop that Coventry Diocese needs for the coming years".
Soprano singer
She reflected on "its rich diversity of people and significant heritage of culture and industry," adding there would be great opportunities to "join in sharing the story of God's love with the people of Coventry and Warwickshire".
Bishop Jelley, who is married and has three grown-up children, plays the violin and viola, is a soprano singer and has been a keen runner for many years.
In December 2019, it was announced she would be the next Bishop of Doncaster and she was consecrated in September 2020, following a delay due to Covid pandemic lockdowns.
Bishop Jelley, who worked in Uganda for three years from 2000, had studied theology and religious studies at the University of Leeds.
She trained at Wycliffe Hall theological college where she gained an MPhil in theology (Christian Doctrine) from the University of Oxford and was ordained in 1997.