Blumenthal, 64, the state's attorney general, won with 54 percent to McMahon's 45 percent, unofficial results indicated.
McMahon, 62, the former chief executive officer of World Wrestling Entertainment and the wife of WWE founder Vince McMahon, promised not to "fade into the woodwork."
Blumenthal will take the Senate seat currently held by Democrat Christopher Dodd. Dodd announced in January he would not run for re-election.
In congressional races, U.S. Rep. John B. Larson, a Democrat, easily defeated Republican challenger Ann Brickley to secure his seventh term in Congress. Democratic Rep. Joe Courtney won a third term, defeating Republican Janet Peckinpaugh, and Democratic Rep. Rosa DeLauro coasted to an 11th term, beating Republican challenger Gerald Labriola Jr. and Green Party candidate Charles Pillsbury.
Rep. Jim Himes survived a crazy day of voting, including a shortage of ballots in Bridgeport, to retain his seat, defeating Republican Dan Debicella. And two-term Democratic Rep. Chris Murphy defeated Republican Sam Caligiuri.