Mahmood made inroads into the KKR's middle-order with his twin strike in the 10th over as he dismissed Jacques Kallis (0) and Manoj Tiwary (0) in successive deliveries to dent the Knight Riders innings, who after the early loss of Gautam Gambhir had tried to recover well.
Mahmood, in his second spell, removed dangerman McCullum to add to the misery of KKR, who came into this match after being crushed by Delhi Daredevils by 52 runs in their opening tournament fixture on Saturday.
Mahmood was ably supported by Kyle Mills, Michael Bates and Ronnie Hira, who picked up a wicket apiece.
KKR were off to a bad start after electing to bat first as Gambhir's poor run in the tournament continued for the second straight match when Martin Guptill, diving to his left, took a stunning one-handed catch to dismiss the southpaw.
The KKR skipper tried to work the ball towards the on side but only managed to get a leading edge off Michael Bates.
In Image: Kolkata Knight Gautam Gambhir plays a shot