The 20-year-old striker had only been on the pitch for four minutes when he dribbled past Mark Connolly and curled a superb shot round goalkeeper Adam Bogdan.
Rodney's cracker was the highlight of a bright first home game for the new-look Bantams, who took the game to their Premier League opponents.
Bolton took the lead through Martin Petrov's penalty in the 14th minute after trialist keeper Mark Howard had brought down Darren Pratley.
Former Swansea midfielder Pratley slid home a second goal following good work from ex-City favourite Robbie Blake.
Rodney reduced the deficit in fine style before late goals from Kevin Davies and Ivan Klasnic gave the final score of an entertaining encounter a harsh look for the League Two side.