The Premiership champions are inexplicably propping up the table after 11 matches, while they relinquished their MTN8 crown to SuperSport United in October after bowing out in the semi-finals.
However, Wits are in the TKO final where they will meet Bloemfontein Celtic at Princess Magogo Stadium on Saturday (18h00).
“We really need to redeem ourselves with this trophy honestly because we started badly,” Mkhwanazi said.
“Winning this trophy will really give us a confidence booster as a team and as individuals to say we are still good and can't be written off just like that.
“We really need to give our all and push and the results will come our way.”
Gavin Hunt's side lost 1-0 at Celtic in the league in October, but Mkhwanazi insists the Clever Boys will be a different animal come the weekend.
“They beat us 1-0 but then we never had all our players. Players were playing out of position and where they are not used to playing.
“Now everybody is back we are looking forward to this match and hopefully we will deliver.”