Chasing 152 for victory in Hyderabad, the defending Indian Premier League champions made a solid start to their run-chase thanks to a 100-run opening partnership between their captain and Robin Uthappa.
After overcoming a late wobble, the Knight Riders reached their target with three balls to spare as Suryakumar Yadav (14 not out) hit Asif Raza (1-10) for four to take Gambhir's side to 153-6.
Having been put into bat, Lahore also made a strong start to their innings as Nasir Jamshed (10) and Ahmed Shehzad (59) put together a 50-run partnership.
The latter anchored the first half of their 20 overs with four sixes and five fours in his 42-ball knock, while Umar Akmal (40) took over the baton when Shehzad was dismissed by Piyush Chawla (1-35) in the 13th over.
Lahore's progress was stunted somewhat, though, as Sunil Narine produced an impressive bowling spell that saw him take three wickets for the loss of just nine runs.
They only reached three figures in the 16th over but Akmal's late exploits saw them add 48 in the final four overs and reach a respectable 151-7, the wicketkeeper being dismissed on the very last ball of the innings.
Gambhir and Uthappa started their reply well, much to the frustration of the Lahore bowlers, but within three overs both had fallen and the pressure began to build on Kolkata.
Having not taken a wicket in the opening 12 overs Lahore began to have more success with the ball, with Aizaz Cheema taking 2-42, but they could not stem the flow of runs.
Yadav and Ryan ten Doeschate (12) kept their nerve to put them on the verge of victory and the former secured the Group A win with a boundary through square-leg.