Coney found Bryan Green for a 13-yard score on the Colonels' opening possession. After a field goal, Thomas broke free for 80 yards to open a 17-point lead.
Eastern Kentucky (5-2, 4-0 Ohio Valley Conference) pushed its lead to 31 in the third quarter thanks to a 6-yard strike to Green and a 12-yard run by Coney. Green finished with nine catches for 122 yards and two scores.
The Tigers cut the gap to 17 in the fourth quarter when Ronald Butler found Patrick Smith and Quindell Cousin for touchdowns of 64 and 18 yards. But Eastern Kentucky played keep-away late, and Jared Sanders capped a 15-play drive with an 11-yard scoring run.
Smith finished with 119 yards on nine catches for Tennessee State (3-4, 0-4).