The Mountain Hawks are the sixth 15 seed overall to pull off the trick. Norfolk State edged Missouri 86-84 in the West Regional earlier in the day, and No. 14 seed Ohio knocked off Michigan to add to the madness.
Duke dropped its first tournament game for only the second time in the past 16 years, and this one occurred just 55 miles from its campus. The Blue Devils also dropped their opener against 11th-seeded Virginia Commonwealth in 2007.
The Blue Devils had no answer for McCollum, a speedy guard who's a two-time Patriot League player of the year and the nation's fifth-leading scorer.
It didn't help that the Blue Devils hit just 6 of 26 shots from 3-point range.
Lehigh (27-7) led most of the game, drawing support from North Carolina fans who borrowed brown signs from Mountain Hawks supporters that read "Go Lehigh" to root against their rivals.
Lehigh coach Brett Reed said before the game his team came to Greensboro to do more than just compete — and that's exactly what it did.
The Patriot League champions led most of the first half despite shooting just 38 percent from the field.
Lehigh grabbed the lead for good at the 8:21 mark of the second half when Mackey McKnight made a 3-pointer.
The Mountain Hawks' momentum continued to build as the game went on and they started to pull away in the final three minutes.
McCollum hit a 3-pointer off a screen from Gabe Knutson and John Adams followed with a breakaway dunk to push the lead to 61-54 with two minutes to go.
Duke would get as close as three twice in the final 30 seconds, including when Quinn Cook hit a 3-pointer with 1.2 seconds left.
Duke fouled McCollum on the inbounds pass and he made up for two earlier misses from the line by hitting both shots to seal a shocking victory that sent the Greensboro Coliseum crowd into a frenzy.