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It took Real less than 10 minutes to draw level as Gonzalo Higuain rifled home from close range after Pepe had laid the ball on a platter, but they found themselves chasing the game again moments later.
Mallorca's second also came courtesy of a header as Alejandro Alfaro leaped high in the area to meet Giovani's corner in the 22nd minute and make it 2-0.
The second half was an entirely different story, with Real drawing level seven minutes after the restart through Ronaldo, who headed home a cross from Luka Modric.
Mourinho's men took the lead for the first time in the game on the 54th minute courtesy of a 30-yard screamer from the former Tottenham Hostspur playmaker.
It took them just three minutes to extend that lead. Higuain turned in Madrid's fourth after good work from German international Mesut Ozil to put the game beyond their opponents.
Things got even worse for the visitors in stoppage time when Karim Benzema turned in Higuain's pass from close range for a final score of 5-2.