Orient took a 10th-minute lead when former Southend striker Alex Revell glanced home Dean Cox's free-kick from close range.
And the Os doubled their advantage eight minutes later after Revell converted Charlie Daniels' low cross inside the six-yard box.
But the hosts responded well to the setback and pulled a goal back four minutes later. Orient failed to clear a corner and Matt Heath swept home Andrew Bond's cross for his first goal since March 2009.
Colchester levelled just after the half-hour mark when David Mooney converted from the spot after Ashley Vincent had been fouled by Andrew Whing in the area.
Kayode Odejayi struck the post for Colchester in the second half but Brian Wilson curled in a delightful 25-yard free-kick with 10 minutes to go to complete a fine comeback.