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Mahrez, who had earlier place Leicester 1-0 up in extra-time buy fifa 16 ultimate team coins before Abel Hernandez equalised to force penalties, took the first spot-kick of the shootout but was denied by Hull goalkeeper Eldin Jakupovic.
All nine subsequent penalties have been scored, with David Meyler netting Hull's fifth and final kick to send the Championship outfit in to the League Cup quarter-finals for the initial time in their history using a shock victory over the Premier League high-flyers.
Following a goalless 90 minutes, Leicester drew 1st blood when Mahrez turned household just after Jamie Vardy's initial work had been saved inside the 100th minute.
But in-form Hull striker Hernandez levelled around the stroke of half-time in the extra 30 minutes, and Steve Bruce's players kept their cool within the shootout.
Hull had a flurry of early chances and could happen to be ahead right after just 3 minutes had Ritchie De Laet not developed a vital block to deny Greg Luer.
Leicester had to wait till the 39th minute for their 1st meaningful chance. Marc Albrighton, the only player to retain his location within the beginning XI that beat Crystal Palace 1-0 at the weekend, galloped via on a 50-yard run prior to seeing his shot blocked.
Claudio Ranieri had seen adequate and threw on talisman Jamie Vardy, but the Premier League's top rated scorer was unable to inspire his team.
Then with eight minutes to go, Hull thought they had snatched the victory as Mark Schwarzer produced a mess of Hernandez's header, spilling the ball around the line.
The ball appeared agonisingly close to crossing the line, however the officials did not possess the benefit of goalline technology and no goal was awarded.
Referee Stuart Atwell made a different major selection 3 minutes into extra-time when Chuba Akpom appeared to become fouled just inside the box, only for the Arsenal loanee to be shown a yellow card for simulation.
Vardy ultimately did have his say when he stormed through one-on-one with Jakupovic and was denied, only for Mahrez to fire residence in to the unguarded target and give Leicester the lead.
But Hull hit back just before half-time in extra-time as Hernandez turned the ball house right after Akpom's initial effort had been parried back into the danger region by Schwarzer.
And Mahrez would soon turn from possible hero to villain, as Jakupovic saved his penalty to supply the platform from which Hull reached the last eight.