Self-correction is emerging as a promising approach to mitigate the issue of hallucination in Large Language Models (LLMs). To facilitate effective self-correction, recent research has proposed mistake detection as its initial step. However, current literature suggests that LLMs often struggle with reliably identifying reasoning mistakes when using simplistic prompting strategies. To address this challenge, we introduce a unique prompting strategy, termed the Pedagogical Chain-of-Thought (PedCoT), which is specifically designed to guide the identification of reasoning mistakes, particularly mathematical reasoning mistakes. PedCoT consists of pedagogical principles for prompts (PPP) design, two-stage interaction process (TIP) and grounded PedCoT prompts, all inspired by the educational theory of the Bloom Cognitive Model (BCM). We evaluate our approach on two public datasets featuring math problems of varying difficulty levels. The experiments demonstrate that our zero-shot prompting strategy significantly outperforms strong baselines. The proposed method can achieve the goal of reliable mathematical mistake identification and provide a foundation for automatic math answer grading. The results underscore the significance of educational theory, serving as domain knowledge, in guiding prompting strategy design for addressing challenging tasks with LLMs effectively.