The Australian star batted superbly under lights and was aptly supported by Indian opener Ajinkya Rahane (60- 6×4, 3×6) in a second-wicket stand worth 58. Thanks to New Zealander Southee, lifting a straight six of the last ball - sent down by Stokes, and Pandya's swashbuckling effort in the last over - MI added 36 runs off the last seven balls.
It must be remembered that Rising Pune Supergiant's move of sacking Dhoni as captain and appointing Smith ahead of IPL 10 did not go down too well with the Indian fans and experts, with Sunil Gavaskar being the latest to criticise the move during a pre-match TV show on Thursday.
Parthiv found the boundaries as well, as MI got to 41/0 in the first four overs.
But Smith struck successive sixes off Kieron Pollard to lead his side to victory.
Earlier, Mumbai Indians, after being put into bat, got off to a flier.
Medium-pacer Rajat Bhatia took the scalp of Ambati Rayudu (10) and Krunal Pandya (3) cheaply in 12th and 14th over respectively.
Nitish Rana tried to steady the Mumbai innings with a 28-ball 34 but he was also out in 16th over.
With Ravichandran Ashwin being ruled out of the tournament, the bowling responsibility will fall on the shoulders of Stokes, and South Africa spinner Imran Tahir. Khan became the first player from Afghanistan to play in the IPL. MS Dhoni even signalled for one.
Former India batsman-turned-commentator Sanjay Manjrekar had a little fun in the middle with Smith when he asked how he viewed the wicket for the IPL than the one which was dished out in the first Test against India last month. Pollard finally departed for 27 off 17 deliveries, caught in the deep by Mayank Agarwal who took a blinder of a catch. With the return of left-arm quick Mitchell Johnson in the side, the Mumbai pace attack, which also boasts of "death bowling" specialist Jasprit Bumrah, looks strong.
Tim Southee was run out off the next delivery which was wide. Hardik Hardik Pandya (35 off 15 balls) stunned the home crowd as he scored four sixes and a boundary to take 30 runs from the final over bowled by Ashok Dinda.