No.
Houdini was most definitely NOT affiliated with the Central Intelligence Agency.
The CIA didn't exist until July of 1947. Prior to that most of the operations that we associate with the CIA were the jurisdiction of the Office of Strategic Services.
Prior to WWII, national security and espionage were conducted by an amalgamation of informal teams and alliances from assorted agencies, branches and offices.
Although, I understand that there is a storied history regarding the skill sets held by magicians being in high demand within the intelligence community.
