The Colecovision is notorious for having an oversized power and a not-so reliable power supply.
Here are a few solution(s) (I'll add more as they come) for replacing the power supply in this old console.
The first one (and only one) is the ColUSB, this takes basically a cell phone charger with at least 2 Amps of power, and a USC-C connector and this little device to give new, clean and reliable power to the console.
Glen from "Glen's Retro Show" has done a review. Check it out.