Wrexham had led through Chris Llewellyn but former Cardiff striker Cameron Jerome levelled and the game went into extra time.
Birmingham pushed on and scored through McSheffrey (2) and Bendtner.
Birmingham: Doyle, Kelly, Martin Taylor, Tebily, Painter, Larsson, Muamba (Dunn 90), Kilkenny, Mcsheffrey, Forssell (Campbell 64), Jerome (Bendtner 64).
Subs Not Used: Maik Taylor, Danns.
Goals: Jerome 41, McSheffrey 102, 113, Bendtner 117.
Wrexham: Ingham, Roche, Steve Evans, Danny Williams, Mike Williams, Mark Jones (Mackin 90), Crowell, Ferguson, Johnson (Newby 83), Llewellyn, McAliskey (Gareth Evans 110).
Subs Not Used: Michael Jones, Spender.
Booked: Mike Williams, McAliskey.
Goals: Llewellyn 29.
Att: 10,491
Match report from the PA
Gary McSheffrey netted two extra-time goals - his first for Birmingham since his £4million switch from Coventry - to earn Steve Bruce's side victory in their Carling Cup clash with Wrexham at St Andrews.
McSheffrey admitted he has been "desperate" to break his duck despite creating several goals for his team-mates since moving from the Ricoh Stadium last month.
And his breakthrough for Steve Bruce's side came in spectacular style with a 20-yard pile-driver after 103 minutes followed by a tap-in seven minutes from time to finally kill off the challenge of their Coca-Cola League Two opponents.
Birmingham were worthy winners with Fabrice Muamba sparkling in midfield while Nicklas Bendtner and DJ Campbell demonstrated why they are Steve Bruce's first choice strike partnership when being introduced in the second half.
But the Welsh side certainly regained their pride after five-goal hammerings in their previous two games with Accrington and Stockport before tiring in the final stages.
Blues boss Bruce made eight changes from the side who shared the spoils with Ipswich on Saturday with only McSheffrey, Cameron Jerome and Sebastian Larsson retaining their places.
Left-back Marcos Painter was not afraid to venture forward and a low cross found its way to Jerome 12 yards out but his touch was not good enough and the ball dribbled through to Michael Ingham.
Wrexham, lacking six senior players through injury. came close to taking the lead when John McAliskey, signed on loan from Huddersfield earlier in the day, had a shot from the edge of the area spectacularly tipped over by Colin Doyle.
But the visitors were not to be denied and a minute later Chris Llewellyn put them ahead.
Darren Ferguson's corner was flicked on by Danny Williams to Llewellyn who made no mistake from close range.
City finally upped the tempo and a sharp turn from Jerome created a yard of space but he scuffed his shot into the side-netting.
Jerome would have been disappointed to allow a pass from Neil Kilkenny to slip under his foot and through to Ingham when in a good position.
But he made amends four minutes before half-time when heading in a deep left-wing centre from McSheffrey for his second goal of the campaign although he was then booked for celebrating with the Blues fans.
More good play by McSheffrey set up a golden chance for Mikael Forssell in the last minute of the half but from eight yards out he volleyed wide.
Wrexham began the second half in a positive vein with Llewellyn and Steve Evans just off target before McAliskey was booked for a crude challenge on Olivier Tebily.
A floated cross from Llewellyn found Josh Johnson unmarked at the far post but he stabbed his shot straight at Doyle.
Bruce made a double change up front after 64 minutes with Forssell and Jerome making way for Bendtner and Campbell.
The duo quickly linked up to earn Birmingham a penalty within three minutes with Ingham bringing down Campbell from Bendtner's pass. But Campbell sent his spot-kick wide after Ingham went the wrong way.
Ingham did well to palm away a fierce drive from McSheffrey after good play by Bendtner and Larsson as Blues stepped up the pressure but Wrexham were still a threat on the break.
Doyle was nearly caught napping by a dipping drive from Jones which he parried around the post while Campbell flicked McSheffrey's cross over the bar as the game went into extra-time.
McSheffrey rattled the bar with a free-kick in the first period and Ingham clung onto Neil Kilkenny's low effort.
But McSheffrey finally put Birmingham ahead after Kilkenny's initial shot from Larsson's corner was blocked and he added his second from Bendtner's pass.
Bendtner put the icing on the cake for City when he calmly took the ball around Ingham before firing home.