The Costa Ricans overcame a deficit as Cristian Gamboa and Ariel Rodriguez cancelled out Salomon Rondon's 30th-minute opener at Estadio Nacional de Costa Rica.
Rondon scored his 15th goal for Venezuela but Gamboa equalised 11 minutes later and Rodriguez sealed the comeback four minutes into the second half as fellow Copa participants Costa Rica rallied to win, a week out from their opening game against Paraguay in the United States on June 4.
Despite playing for the first time since March's World Cup qualifying win over Jamaica, Costa Rica enjoyed the better of the early opportunities against Venezuela, who were taking to the field for the second time in four days following Tuesday's goalless draw with Panama.
Costa Rica were denied by Venezuela goalkeeper Jose Contreras in a goalmouth scramble before Ronald Matarrita flashed a powerful volley just wide of the post eight minutes later.
But within seconds, Venezuela went up the other end and hit the front thanks to West Brom striker Rondon.
Rondon placed his shot beyond Costa Rica keeper Patrick Pemberton after team-mate Josef Martinez squared the ball across the penalty area.
Juan Anor almost made it 2-0 for Venezuela in the 37th minute but Pemberton made a diving save to deny the midfielder and it spurred Costa Rica into action as Gamboa levelled proceedings four minutes before half-time.
Gamboa's long-range shot somehow beat Contreras, who made a diving save but was unable to keep the ball out.
After having a goal ruled out for offside in first-half added time, Costa Rica hit the front in the 50th minute and in style.
Rodriguez, initially off balance, curled a delightful shot into the top-right corner.
Venezuela went in search of an equaliser but they could not breach Costa Rica's defence as their winless streak extended to five games.