In this paper, an online compensation method of phase delay error based on a Phase-Frequency (P-F) characteristic has been proposed for MEMS Coriolis Vibratory Gyroscopes (CVGs). At first, the influences of phase delay were investigated in the drive and sense mode. The frequency response was acquired in the digital control system by collecting the demodulation value of drive displacement, which verified the existence and influence of the phase delay. In addition, based on the P-F characteristic, that is, when the phase shift of the nonresonant drive force through the resonator is almost 0° or 180°, the phase delay of the gyroscope is measured online by injecting a nonresonant reference signal into the drive-mode dynamics. After that, the phase delay is self-corrected by adjusting the demodulation phase angle without affecting the normal operation of the gyroscopes. The approach was validated with an MEMS dual-mass vibratory gyroscope under double-loop force-to-rebalance (in-phase FTR and quadrature FTR) closed-loop detection mode and implemented with FPGA. The measurement results showed that this scheme can detect and compensate phase delay to effectively eliminate the effect of the quadrature error. This technique reduces the zero rate output (ZRO) from −0.71°/s to −0.21°/s and bias stability (BS) from 23.30°/h to 4.49°/h, respectively. The temperature sensitivity of bias output from −20 °C to 40 °C has reached 0.003 °/s/°C.