Chasing a target of 149, MI completed the job with opener Quinton de Kock playing a fine innings of 78 off 44 balls.
Batting first, KKR made 148 for five.
KKR's pace spearhead Pat Cummins top-scored with an unbeaten 36-ball 53 while new captain Eoin Morgan remained not out on 39 off 29 deliveries at the Sheikh Zayed Stadium, even as the other established batsmen failed to impress.
Kolkata Knight Riders: 148/5 in 20 overs (Pat Cummins 53 not out, Eoin Morgan 39 not out; Rahul Chahar 2/18)
Mumbai Indians: 149/2 in 16.5 overs (Quinton de Kock 78 not out).