Bayliss, 20, has signed a four-year contract to the summer of 2023 and moves to Deepdale for an undisclosed fee.
However, it is understood that the fee is in seven figures.
Leicester-born Bayliss, who has been capped twice by England Under-19s, broke into the Coventry first-team in November 2017 and has gone on to make 67 appearances for the Sky Blues in League One and League Two scoring nine goals.
Bayliss said: "As soon as I heard about the interest I couldn't wait to get here and get the deal done and meet the gaffer and I can't wait to get started now.
"The sheer size of the stadium as we pulled on to the car park, it's massive.
"It's a massive club and I just can't wait to show what I can do now.
"The gaffer knows what qualities I've got and he thinks he can home in on those skills and make me a better player and be able to play week in, week out at this level.”
Bayliss is plays in the centre of midfield, similar to that of Paul Gallagher and Daniel Johnson, and is Preston's fourth signing of the summer following that of Patrick Bauer, David Nugent and Andre Green.
It's the second new arrival in less than 24 hours, Green having come on a season-long loan from Aston Villa on Thursday evening.