The presence of a keyhole can severely degrade the signal identification performance of the multiple input multiple output (MIMO) system. In this letter, a novel algorithm, namely, the direct modulation recognition (DMR) algorithm is presented to classify the lower order PSK constellations under the spatially correlated MIMO keyhole and Rayleigh channels. In the proposed algorithm, the ratios of higher order cumulants derived from the received signal are used directly as classifying features. The advantage of the DMR algorithm is that it works without the knowledge of the channel state information. Simulation results are presented to show the efficacy of the proposed DMR algorithm.