Cobb, who threw three interceptions, completed 28 of his 40 passes, including TD throws to Samuel Patterson and Quan Myers. Derrick Ziglar rushed for 104 yards on 22 carries, including a pair of first half touchdowns.
Aaron Sanders had a school-record 16 receptions for 218 yards for VMI (2-6, 1-3 Southern), which piled up 567 total yards and won on the road for the first time since 2010.
Mercer narrowed the gap to 28-21 midway through the fourth quarter when Chandler Curtis snagged a 2-yard touchdown pass from John Russ. The Bears then drove 67 yards to the VMI 25 in the closing minutes but the Keydets defense held and got the ball back on downs with 1:34 left.