Opting to bowl, Rajasthan bowlers put up a disciplined performance and picked up wickets at regular intervals to bowl out Kings XI for a paltry 124.
Rajasthan then rode on Ajinkya Rahane's unbeaten 34 off 42 balls, Shane Watson's 19-ball 32 and debutant Sanju Samson's unbeaten 27 to chase down the target with four balls to spare.
Earlier, S Sreesanth (2/20), Siddharth Trivedi (2/21), James Faulkner (2/30) and Kevon Cooper (2/33) utilised the seam friendly pitch of the Sawai Man Singh Stadium to perfection and shared eight wickets between them to bowl out Kings XI in 18.5 overs.
David Hussey top-scored for the Punjab outfit with a 31-ball 41, while Azhar Mahmood made 23 off 20 balls. Praveen Kumar (15 off 7) played a short cameo towards the end to take Kings XI past the 120-run mark.
Chasing the modest target, Shane Watson got Rajasthan off to a blazing start. The big shouldered Australian was severe on anything that was pitched up to him and took Ryan Harris and Parvinder Awana for special treatment before departing in search of one too many.
Watson muscled his way to 32 off just 19 balls with the help of seven boundaries before he was caught by Mandeep Singh of a short delivery off Awana but not before powering Rajasthan to 43 in 4.4 overs.
But the combination of Praveen Kumar (2/10) and skipper Adam Gilchrist brought Kings XI back into the match with some brilliant bowling and sharp catching behind the stumps.
Praveen picked up two wickets - Rajasthan captain Rahul Dravid and Stuart Binny in the eight over - in identical fashion, brilliant one handed catch by veteran wicketkeeper Gilchrist.
Introduced late into the attack, Piyush Chawla then struck in his first over, dismissing dangerous Brad Hodge leg before wicket to keep his side's hope afloat.
But with the asking rate under their control, Rahane and debutant Samson played sensibly and shared unbroken 47 runs off 39 balls for the fifth wicket to guide Rajasthan home.
Earlier, Sreesanth justified Rajasthan skipper Dravid's decision to bowl first as he picked up two wickets in the second over of the innings to rattle the Punjab side.
Kings XI captain Gilchrist's torrid time with the bat continued as he became Sreesanth's first victim, caught by Trivedi for a duck in just the second ball of the pacer's opening over. Three balls later, Sreesanth struck again when Mandeep slashed one to Binny at third man.
To make matters worse, Manan Vohra was run out by a direct hit from Faulkner as Kings XI found itself in a spot of bother at 10 for three.
Hussey and new man in Gurkeerat Singh (10) shared 35 runs off 31 balls for the fourth wicket before the latter perished, caught by wicketkeeper Samson off Trivedi.
Hussey and Rajagopal Satish (11) then added 22 runs for the fifth wicket before Satish was brilliantly caught by Samson off Faulkner.
Kings XI were dealt a severe blow in the next over when Hussey became Trivedi's second victim of the day, caught by Dravid at mid off. Hussey hit four fours and a six.
Cooper also registered his name among wickets dismissing Chawla and Mahmood towards the end before Faulkner drew curtains to the Kings XI innings with seven balls to spare.