This letter studies the ergodic mutual information (EMI) of keyhole multiple-input multiple-output (MIMO) channels having finite input signals. At first, the EMI of single-stream transmission is investigated depending on whether the channel state information at the transmitter (CSIT) is available or not. Then, the derived results are extended to the case of multi-stream transmission. For the sake of providing more system insights, asymptotic analyses are performed in the regime of high signal-to-noise ratio (SNR), which suggests that the high-SNR EMI converges to some constant with its rate of convergence (ROC) determined by the diversity order. All the results are validated by numerical simulations and are in excellent agreement.