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Left-arm spinner Ravindra Jadeja picked up 5/33 as the Proteas were bowled out for 83 in 27.1 overs.
The Indian maestro added another feather to his already illustrious cap while continuing his rich vein of form in the World Cup.
De Kock, who struck centuries against Sri Lanka and Australia earlier in the World Cup, slammed 174 off 140 balls at the Wankhede Stadium.
The Dutch had shocked the Proteas in last year's Twenty20 World Cup too.
Quinton de Kock struck back-to-back tons and Aiden Markram made a half-century before the bowlers ripped through the five-time champions.
There was some brutal batting at the Arun Jaitley Stadium where three of South Africa's top four batters smashed rapid hundreds to help them rack up a tournament record total of 428/5.
Seamer Lizaad Williams and all-rounder Andile Phehlukwayo have been called up as replacements, with South Africa to open their campaign against Sri Lanka on October 7.
Wicketkeeper-batter Quinton de Kock has announced he would retire from ODI format after the tournament.
The Sanju Samson-led side have moved into fifth position with a 4-wicket win.
The Capitals won by 15 runs despite Liam Livingstone's fighting 94.