Houdini was a member of the Cecile Lodge No 568 in New York City and a member of the Mecca Shrine Temple in New York City. His funeral included full Masonic rites.
The article in this magazine is called Escape and Survive and is a biography of Houdini with a few curious additions. Among them is the "rumor" that following Houdini's escape from the Siberian Transport Prison Cell in Russia, "several secret police officers were executed as a result." (!)
That's news to me; but who am I to question an ancient Order.
UPDATE: For the most up to date information on Houdini the Mason please see: Guest Blog: Author-Lecturer-Mystifier-Mason.